For example, if drag something to the Trash icon located on the Dock, Mac OS X will play a sound.  When you empty the Trash, Mac OS X will play a different sound.

You'll also hear sounds for other actions such as removing an icon from the Dock, when a CD burning task has completed, or when you send and receive an e-mail when the Mail application is open.  You can turn off these sounds, what Mac OS X calls "user interface sound effects".  Just launch System Preferences and do the following:

1. Click Sound
2. Remove the check from the box to the left of "Play user interface sound effects"