On my desk sits a 21" iMac which is plugged into a 27" Apple Cinema Display. The iMac is a great machine, but the audio quality is better coming out of the Cinema Display — larger screen, probably better speakers.
So when I'm playing music I always select the sound output to come from the Cinema Display. You can Option+click the Volume icon on the menu bar and select either "Display Audio" or "LED Cinema Display", both mean the same thing. If I want to use the iMac speakers I select "Internal Speakers".
But what if I want to use both? Madness right? After looking around I found that you can create a "Multi-Output" device using the Audio MIDI Setup app.
So after doing that I created a multi-output device called "Both Screens" with output going to the built-in iMac speakers as well as the Cinema Display.
The only downside is that you have to control the volume from the app doing the playback, e.g. iTunes. Whatever volume you had the selected display at is what's used so you may want to swap back to it, set the right volume and then swap back.
Dual monitor sound output. Hell yes.