To play your Mac's audio over an AirPlay device (like an Apple TV or AirPort Express), the standard way is to open System Preferences, then click on the Sound pane, then the Output tab, then select the device.
There's a much quicker way, however. If you have the Volume menu visible in the menubar, clicking on this icon displays a simple volume slider. But if you hold the Option key when you click on the icon, you can select audio inputs and outputs directly, including nearby devices compatible with AirPlay.
[kirkmc adds: This isn't new, at least the part about using an Option-click to choose input and output devices. It's worth pointing it out again, however, because you can now choose AirPlay devices as well from this menu. As noted in the comments below, it seems that this menu only displays the last selected AirPlay device.]
Mac OS X Hints
http://hints.macworld.com/article.php?story=20120716100113198