Using Mumble 1.2.2, which I was trying out for the first time today, when selecting my on-board sound chipset (AD 1988B 8-channel, "SoundMax HD Audio") on my Asus P5B Deluxe motherboard as output device, i don't hear any sound. I looked for the solution for a long time, thinking it may be a problem with my hardware, but it is not, since all sound software works perfectly, including TeamSpeak (2 & 3), Ventrillo, all games, media players, etc... This is under WinXP Pro and DirectX 9.0c.
Then I decided to plug my headphones into one of the other connectors, and found the sound (sound from the Audio configuration Wizard in Mumble), coming out from another jack, only 1 channel tho (left). In any case, the hardware is ok. There must be something wrong you're doing when sending sound out to speakers.
(NB: I also have a SB XF-i card in the system, but this has never caused any problems, and again, all other voice chat software work fine: game sounds coming out from 5.1 XF-i, voice chat coming out from a headset connected to the on-board chipset).