Quoting Apple's 
<a href="http://developer.apple.com/technotes/tn2002/tn2102.html">technote 2102</a> 
on the System Sound API in OS X 10.2 and later:

Using the System Sound APIs will guarantee that your application never plays an Alert or Sounds Effect out the wrong device, possibly a pair of speakers turned up very loud blasting Spinal Tap’s greatest hits.