With the increasing role of computers in table-top role-playing, I am surprised that the use of sound effects are not more common. This would be an easy atmosphere builder to add to a campaign that could greatly increase the immersion into the story.
There are many sites offering free as in beer and in speech libraries of sounds so this addition would not break the bank and – in fact – is much less expensive than many other atmosphere building techniques. One of the most extensive libraries of free sounds that I have encountered is The Free Sound Project. This site is fully searchable and contains thousands of sound files covering everything imaginable.
Sound effects can be incorporated into many aspects of the game. When character is trying to stealthily open a door and fails, play a creaking door sound. When an arrow is unexpectedly shot at the party and hits a nearby tree, instead of telling this to the players, just play a "thwup" sound and let them role-play the situation. When a player listens at a door with zombies behind it, play groaning sounds. The possibilities are literally endless.
Logistically, I have a few suggestions to make utilizing sound effects go seamlessly. First, using iTunes or a similar program (Amarok, Banshee, Rhythmbox, etc.) sound effects for the current session could be added to a category so that they are easy to find. Also, I would recommend having your laptop behind the DM screen so players can’t see you getting ready to queue a sound. Using a program such as Audacity to add a couple of seconds of silence to the end of each file would be wise; if you don’t and are not quick to hit stop, the next file may start to play. Finally, I would suggest practicing this a few times before a session to make sure you know which file is which and that you can play them quickly without having to hunt for them.
Have fun, and remember to always watch your players’ reactions. If it looks like they are confused by the sound effect, ask them what they heard; that sound you chose may not have conveyed to other people what it signified to you. Also, some players do not like certain techniques and it could be that you have a group of players just prefer verbal descriptions, or diagrams, or some method of immersion other than sounds.