Chances are that you don't have a driver for your sound card or onboard chip. Try recompiling your kernel and in the configuration make sure ALSA and the driver for you sound card is checked. If you don't know which driver to use, check them all. It is also possible that the sound is just muted, as is the default in many Linux distributions. Try running alsamixer at the command line. This will let you unmute your sound card and turn up the volume. Another possible cause is a permissions issue. Make sure you are in the group "audio", otherwise you might get a permissions error. Yet another possibility is that a program is hogging the sound card. Artsd usually does this if you are using KDE. Try disabling the KDE sound server. Also try typing "killall -9 artsd" at the command line (without the quotes).