I am having exactly the same problem. I think it is because since HDMI is traditionally for both audio AND video, the HDMI channel on the TV only outputs audio coming in through the HDMI cable. However, we are only feeding video through it, hence no sound.
The AUX input on my TV is linked to the DVI input, so there is a channel on my TV that will play both video from DVI and audio from AUX at the same time, but there is no channel on my TV that will play video from HDMI and audio from AUX, and I don't think I can change the settings to create one...
Of course, the easiest way for me to connect my macbook up would be mini DVI to DVI, since, as I mentioned earlier, I have a DVI input on the TV which is linked to an AUX input. However, I simply cannot find a long enough mini DVI to DVI cable for this option to be at all practical.
I'm a bit stumped to be honest...