Summarize:

If you have headphones plugged in, you won't be able to hear sound from the speakers. Sometimes inserting and removing a headphone plug will get the speakers to switch back on. If you have multiple audio devices connected to your Mac, it may not switch inputs correctly. This will display a list of devices that can output audio. Select the device that you want to use to play sound.  If you want to play sound from your Mac's speakers, select "Internal Speakers" or "Digital Out." If you're trying to play sound from your connected TV, select the "HDMI" option. Many external speakers will have their own volume controls. If the speakers are turned off or down, you won't be able to hear sound from them even if they're selected.
Ensure you don't have headphones plugged in. Click the Apple menu and select System Preferences. Click the "Sounds" option and then select the "Output" tab. Select the proper output device. Check the volume level of external speakers.