If you are used to editing programs you might be irritated that the default live playback of After Effects does not play audio. To hear the audio you need to do a RAM preview.
For a RAM preview, you need to click the rightmost symbol in the Preview panel. Alternatively, hit the 0 key on your number pad.
A RAM preview first renders your clip into memory and then plays it back. In contrast to the normal play button this guarantees that your video always plays in real time - no matter how complex your project is.
Update: Note that in After Effects CC 2015 and newer the RAM preview button does not exist anymore. In those new versions caching frames in the RAM happens automatically in the background and sound is now audible also with the normal live playback.
To get started with these basics, take a look at our beginner tutorial series for After Effects.