What we hear is not just music, sound effects (FX) and ambient background noise. The sound is a longitudinal, mechanical (vibrating) wave. These "waves" can pass through different mediums (for example, air, water, your desk) but not through a vacuum. Therefore, no one will hear your screams in space. The sound is a variation in pressure. A region of increased pressure on a sound wave is called a compression (or condensation). A region of decreased pressure on a sound wave is called a rarefaction (or dilation). You can see this concept illustrated in the following image:
The density of certain materials, such as glass and plastic, allows a certain amount of light to pass through them. This will influence how the light will behave when it passes through them, such as bending/refracting (that is, the index of refraction), various materials (for example, liquids, solids, gases) have the same effect when it comes to allowing sound waves to pass. Some materials allow the sound to pass easily, while others dampen it. Therefore, sound studios/booths are made of certain materials to remove things such as echoes. It has a similar effect to when you scream underwater that there is a shark. It won't be as loud as if you scream from your kitchen to tell everyone dinner is ready.
Another thing to consider is what is known as the Doppler Effect. The Doppler Effect results from an increase (or decrease) in the frequency of sound (and other things such as light, ripples in water) as the source of the sound and person/player move toward (or away from) each other. A simple example of this is when an emergency vehicle passes by you. You will notice that the sound of the siren is different before it reaches you when it is near you, and once it passes you. Considering this example, it is because there is a sudden change in pitch in the passing siren. This is visualized in the following image:
So, what is the point of knowing this when it comes to developing games? Well, this is particularly important when creating games, more so in 3D, in relation to how sounds are heard by players in many ways. For example, imagine that you're nearing a creek, but there are dense bushes, large pine trees, and a rugged terrain. The sound that creek makes from where a player is in the game world is going to sound very different if it was a completely flat plane free from any vegetation. When it comes to 2D games, this is not necessarily as important because we are working without depth (z-axis) but similar principles apply when players may be navigating around a top-down environment and they are near a point of interest. You don't want that sound to be as loud when the player is far away as it would be if they were up close.
Within the context of 2D and 3D sounds, Unity has a parameter for this exact thing called Spatial Blend. We will discuss this more in the Audio Source section.
There are several ways that you can create audio within Unity, from importing your own/downloaded sounds to recording it live. Like images, Unity can import most standard audio file formats: AIFF, WAV, MP3, and Ogg, and tracker modules (for example, short instrument samples): .xm, .mod, .it, and .s3m.