Do you have the Model 7,1 MacBook? That's the only one that carries sound through the HDMI adapter. (To see which model you have go to the Apple in the upper left corner and select About This Mac, then click on More Info. When System Profiler comes up check the Model Identifier.)
If you connect the MacBook using a Mini DisplayPort or Mini-DVI to HDMI adapter you will probably need to use external speakers or a stereo system for audio. The Mini DisplayPort or Mini-DVI to HDMI doesn't carry audio and there's no audio plugs on most monitors to work with HDMI since it's expecting audio with the HDMI.
If your monitor has a DVI plug you can use a Mini DisplayPort or Mini-DVI to DVI adapter. The monitor will have RCA audio plugs for use with the DVI.
I looked up the model identifier and it is 7.1. I USED THE MOSHI HDMI connector to the monitor. No sound from the monitor and the salesman said it had speakers.