If praat (on ubuntu) doesn't want to play any audio, it tells you to consult some Sound-HOWTO (which at least doesn't exist on ubuntu). Unfortunately, http://ubuntuforums.org/archive/index.php/t-64383.html is of little help (and doesn't allow posting anymore as its active phase has expired).

The solution for us was easy: We use an external USB sound card and have deactivated the mainboard sound. For some reason, the sound device is now called "/dev/dsp1" (and "/dev/audio1") and there is no "/dev/dsp" (nor "/dev/audio"). Adding symlinks from "/dev/dsp" to "/dev/dsp1" (and from "/dev/audio" to "/dev/audio1") fixed the problem. Hope this helps.