You can hijack the audio from any application, or the system audio, with Audio Hijack Pro
You can then use its Auxiliary Device Output effect to send the audio to multiple devices.
I was recently pleased to discover Mountain Lion has this in the Midi Setup utility as "Create Multi-Output Device".
In Audio MIDI Setup, click the Add button (+) in the Audio Devices window, and then choose Create Multi-Output Device.
A new multi-output device appears in the list on the left side of the window. To rename the device, double-click it.