This writeup was inspired by catting weird things to /dev/audio.
Now, we know that catting a file to /dev/audio converts it into sound, correct? However, our Windows-using friends don't have any such thing as /dev/audio. But, there is a way!
What you have to do is download Audacity. It's an open-source audio editor that can do heaps of cool stuff. Google for it, it'll be at the top of the page. Now, you just install it, etc. so, you've fired up Audacity. Now up the top, there is a bar with
FILE EDIT VIEW PROJECT
and so on. Now, click on 'project'. Now, go down to "Import Raw Data". Click on it, and it will give you a window where you can select the file you want.
There you go! I find that .exe files work well, although .bmp's and .jpgs often produce good results. .pdf's do not work at all, they just produce static. So do .wmvs and .avis.