When you adjust the volume on a Mac, it plays a little sound so you can check out the volume. While the Mac does not give you a way to specify the sound that is played using the normal means of the System Preferences, you can change this sound if you like.

The sound that is played can be found is in the file:

/System/Library/LoginPlugins/BezelServices.loginPlugin/Contents/Resources/volume.aiff

All you need to do to change the sound is to replace this file with a new .aiff audio file. If you are using the terminal, you'll need to do this as the system user. If you are using the Finder, you'll need to updated the permissions in the Resources directory so that you have write permission (it'll ask you for the system user password) in this directory.

Make sure you rename/save the existing volume.aiff file in case you want to reset the sound back to the original.