my iMac G3 DV does well with internal speaker + external sound, through the line out... my PMG5 does too.. but with most macs, which have one output, like the MB, MBP, iMac, and Mac mini, i think you can only select one output at once in the System Preferences.
there's probably a way around it, however, because it's software controlled. maybe sniff around a few preference apps like Onyx and so on to see if they can do it (but i know onyx can't).