I have a 27" Thunderbolt Cinema Display, and I use its built-in speakers for the output of alert sounds. (In System Preferences > Sound > Sound Effects, you can choose this.) But the volume wasn't very loud, even though I had set the Alert volume slider to its maximum setting. I'd been trying to figure out why, because when I listen to music, the alert volume - and a sound I use to alert me when VIP e-mails arrive - isn't loud enough to be heard.
So I remembered that Audio-MIDI Setup has a number of tweaks for system sound settings. This app is found in /Applications/Utilities. When I opened it, and clicked on Display Audio, the two volume sliders (right and left channels) were nowhere near the maximum volume, so I raised them, and now I can hear my system beeps and other sounds.
So if you have problems with the volume of any audio outputs, you might want to check Audio-MIDI Setup and see if it can fix the issue.
Mac OS X Hints
http://hints.macworld.com/article.php?story=20121114073120139