Many things in Second Life can generate sound: avatars, objects, wind, the UI, etc. Residents can upload sounds from the file menu for 10L$ each and use the sounds in scripts or gestures or even play them directly from their inventory.
The source of sounds can be seen by turning on View > Beacons -> Sound Sources, all things that produce sound will then have a yellow beacon that appears when the sound is played. Sound volumes for many different individual things can also be adjusted in Preferences > Audio & Video.