Mac OS X is great at managing multiple audio input and output devices connected to the system at one time. For example, you can have multiple microphones and/or speakers connected to the same Mac at the same time, and choose in real-time which device you want to use at that particular time.
When it comes time to switching to a specific audio input or output device, however, most users go about this the hard way (by entering System Preferences | Sound). As with most processes on a Mac, there's a much easier way to make the switch, if you know the right key combination.
If you notice on the menu bar near the clock, there is a speaker icon. This lets you adjust the volume of your speakers. If you Option + click on that icon, you will see a whole new set of options. These options allow you to choose the audio input and/or output device of your choice.
As promised, this is a very simple and quick way to adjust your audio settings on the fly.