Just to clarify the General's too-general statement:
The iMac has a stereo analog line out, and an optical out (which carries a 5.1 signal if the source material and the software playing it both suppport it -- not a given.)
You need to have amplified, or self-powered speakers, 'passive' speakers won't work. The analog output is a line level that doesn't have enough amplitude for anything bigger than headphones. There are a number of good 'computer speakers' on the market. The ones I have are Klipsch ProMedia II They have good sound and surprisingly good bass especially considering I got a couple of pairs on clearance at CAN$50 per pair. There are also some really dreadful powered speakers being sold for 2x and 3x that price. Listen before you buy. Take CDs you are already familiar with.
If you want surround sound, you either have to
1) Get 5.1 speakers that have an optical digital input AND a decoder, These tend to be at the top end of the price scale.
2) Send the optical output to a receiver or home theatre system that has an optical in and a decoder, and run the mac sound through the speakers from the system
3) Get a Firewire or USB 5.1 decoder. Most 5.1 computer speaker sets are analog, and require 3 cables (6 signal lines) on 1/8" jacks. No Mac has that type of output, although it is bog standard on Windows machines. In order to use these type of speakers, you need an external 'sound card' like the discontinued USB M-Audio Sonica Theater or the Griffin Firewave, which provides the 6 channels of analog outs.
If you want to spend some money on a 2.0 or 2.1 system, look at the speaker systems that are sold for project recording studios. M-Audio, E-Mu, KRK, Event and others have good, self powered bookshelf sized speakers, many with the option of a matching sub-woofer. I use ESI nEar 05's which are dandy.