Ubuntu 10.10 Maverick Meerkat and 11.04 Natty Narwhal continue to have this issue which is solved by following the steps for Ubuntu 9.10 below.

UPDATE for Ubuntu 10.04 Lucid Lynx: I just noticed there is still no audio with a fresh Lucid install. Just follow the below steps from Ubuntu 9.10.

UPDATE for Ubuntu 9.10: The no sound problem is also present in Ubuntu 9.10 Karmic Koala for Audigy cards. The fix is basically the same as described below, with one notable difference in doing it. Because the sound preferences got redesigned, there is no GUI option to place a check on “Audigy Analog/Digital Output Jack”.
You will have to open the terminal and enter “alsamixer”. Use the right arrow key to select the channel “Audigy Analog/Digital Output Jack”. Press “M” to turn it on/off.

If you don’t have sound on your Creative Sound Blaster (Audigy) after installing Ubuntu 9.04, here is a solution to enable sound on Creative Sound Blaster cards, it’s not just an Audigy issue. I had the same problem with my SB Audigy 2 after a fresh install of Ubuntu 9.04, it worked with earlier versions out of the box. I only tested this with SB Audigy 2 and SB Live!.
Luckily, the solution is very simple and in my case didn’t require any installing/modifying.

Just do this:
Right click the sound icon on your panel and select “Open Volume Control”. From there click on the “Switches” tab and check the “Audigy Analog/Digital Output Jack”. That’s all quick and easy. It seems the developers forgot to leave it on.

..and now enjoy!