There's very little coverage of this feature yet that I've found, but in 10.2 if you go to the Sound panel in System Prefs, you can turn on 'Play user interface sound effects'. The puff of smoke makes a sound when you remove something from the dock (or menu bar), and there's a clank when you drop items into the trash. Very tasteful, slight things. I hope there are more that I haven't heard yet.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20020903063838390