1. Go to System Preferences (Apple Menu > System Preferences).
2. Click on the Sound pane.
3. Click on the Output tab.
4. Make sure that "Line Out" is selected unless you are using optical audio cables (high-end digital cables).
5. Make sure the Output volume is high enough (bottom of same window).
Please let us know if that worked for you.
Can you give us a list of programs that are misbehaving?
What machine / operating system / RAM / peripherals are you using?
Doug