Adding quality audio to an electronic project is surprisingly difficult. Adafruit Wave Shield for Arduino Kit - v1.1 is a shield for Arduinos that solves this problem. It can play up to 22KHz 12bit uncompressed audio files of any length. It has an onboard DAC, filter and op-amp for high quality output. Audio files are read off of an SD/MMC card and volume can be controlled with the onboard thumbwheel potentiometer.
Adafruit Wave Shield for Arduino Kit - v1.1 is a kit, and comes with all parts you need to build it.
Arduino board, SD card, tools, speaker and headphones are not included.
The shield comes with an Arduino library for easy use; simply drag uncompressed wave files onto the SD card and plug it in. Then use the library to play audio when buttons are pressed, or when a sensor goes off, or when serial data is received, etc. Audio is played asynchronously as an interrupt, so the Arduino can perform tasks while the audio is playing.
Adafruit Website: https://www.adafruit.com/products/94