Audio output is generally made by some physical process interacting with the air (in space, of course, there is no sound!). The air conveys the sound to your ear (or to a microphone or other input device).
To produce output from a computer, we need to take a digital signal, convert it to analogue, and use that to drive a loudspeaker. Many PCs now feature fairly standard hi-fi amplifiers and stereo speaker systems.
Sounds can be created purely digitally (from synthesiszers) or partly digitally (from samples) or naturally from the surrounding world (wind in the trees, rain on the roof), or from analog musical instruments or from human speech.