I want to turn an old plastic toy into a simple music box for my kids. The plastic case includes an 8 Ohm, 0.4W Speaker, is there a way to connect it directly to the Pi? My research so far seems to indicate that I need an amplifier, is that true?
You can connect it directly. It will just be very quiet (think headphone noise range). You can compensate some by turning up the volume. A louder sound would require an amplifier, or a lower resistance speaker.