Sounds from the Atari 8-bit computer line came through the RF video cable into your television much like video game systems from the time. The original Atari 400/800 also had a built in speaker, though from what I can tell it only produced the keyboard "click" sounds and wasn't meant to do anything else. I don't think the internal speaker was included in the later XL and XE lines.
Was the internal speaker of the original 400/800 usable for anything other than the keyboard click? That being said, how was it hooked up in the architecture? By this I mean was it tied to one of the POKEY channels (doubtful) or was there dedicated circuitry for the speaker?