This developed by Adafruit shield allows you to add audio on an arduino with a DAC or NAC (Anloga digital converter).

It has a floor of filter and a pre-amp for a quality audio output. 

It is also possible to directly read WAV files on a SD card inserted into the shield SD/MMC card reader (file WAV 22 kHz mono 16 bit uncompressed).

The shield is sold in kit with all necessary components to its mounting soldering yourself.

Documentation:

Documentation of the Adafruit Wave Shield: http://www.ladyada.NET/make/waveshield/