I have a love/hate relationship with the feedback "beep" that Mac OS X makes when you adjust the volume. On one hand, I think it's great real-time feedback when you adjust the volume. The volume of the beep gives you an audible sense for where the overall system volume is set without having to look at the screen for the visual cue. On the other hand, it has the potential to be slightly obnoxious (and even embarrassing), especially when your Mac is connected to external speakers (say as a DJ) and everyone else hears when you adjust the volume.
Fortunately, there are a couple ways to disable this sound. One is temporary, and the other is permanent.
Temporarily disabling the volume change feedback
To temporarily disable the beep, simply hold down the Shift key while pressing the volume up/down buttons on the keyboard. You'll still see the visual indicator that the volume is changing, but you won't hear the beeps.
Permanently disabling the volume change feedback
To permanently disable the beep, open System Preferences, then click on the Sound icon. On the Sound Effects tab, you will see a checkbox for disabling the volume change feedback.
Alternatively, you can also get here quickly by pressing the Option key while adjusting the volume.