Pre-empting the fact that the Raspberry Pi Zero has no analogue headphone jack - has anybody managed to setup the audio such that a Piezo Speaker directly attached to a GPIO PWM pin would make a sound?
Adding to @joan's answer, if you're looking for a proven circuit, why not just look at the Pi B, Rev 2.1 for something the designers at the Raspberrypi Foundation figured to work? Refer to page two, right left corner for the circuit in question, and take the values of resistors and capacitances for the low-pass filter.
Why not try and see?
I've just connected GPIO 18 and ground to a headphone jack and I can hear a tone when I send PWM pulses.
I have no idea if what I've done can damage the Pi. Why not check for circuits on line?