For Treo 600 users. There are 3 Knowledge Base articles that deal with sound for your 600:

How to play music through headset: http://www.normsoft.com/kb/idx/9/112/article/
Sound still goes through speaker: http://www.normsoft.com/kb/idx/9/059/article/
Get no sound from Treo: http://www.normsoft.com/kb/idx/9/062/article/

For most other devices it is fairly straight forward. On any of the Treos, make sure you have not inadvertently set the speaker to mute.

Also make sure that the volume slider in Pocket Tunes is at least halfway. That will ensure that even with the quietest track, you should still hear it either through the speakers or headphones.

On any Treo device, you must be using an adapter if you want to use a regular set of headphones with your device.

There have been some cases where the jack has been defective so you may want to have that checked.

Contact support at http://www.pocket-tunes.com/scripts/support.php if you are still having problems.