Check System Preferences > Sound > Output or OPTION/Alt click the sound/volume icon in the Menu Bar and tell us, what is listed and checked as Output Device.
Also check Applications / Utilities / System Profiler (Mac OS X 10.6 and earlier) / System Report (Mac OS X 10.7 and later)> Hardware > Audio to see, what devices are listed there.
As for external USB sound cards, what is your budget and what exact Mac OS X version do you use?