I've been banging my head for several dozens of minutes against the wall until I realized my Pi (B+) did play audio indeed. The only thing is it seems to only play from a TTY (i.e. an interactive text console), not from a virtual session, e.g. from a remote SSH connection.
If I log directly on the Pi with my USB keyboard and play an audio file, it works:
aplay /usr/share/pyshared/pygame/examples/data/house_lo.wav omxplayer -o local /usr/share/pyshared/pygame/examples/data/house_lo.wav
If I run the same commands from a remote SSH session, no sound. Same happens regardless of HDMI or audio jack.
Does anybody have a clue?