If you want to set the volume below the minimum volume control level, but still have it audible, do the following. Turn the volume down to 0 bars (absolutely down) manually, but don't hit the Mute key. Then press the Mute key, which OS X will interpret as "unmute" as the volume is set to zero, and voila. The sound should still be going, but very quietly.
[robg adds: This seems to work as described on my Mac Pro with external speakers. The on-screen sound icon shows zero dots on the sound scale, yet there's definitely audible music coming from the speakers. If I then hit the Mute key, the sound completely vanishes.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20070626215703454