Having an Arduino trigger a sound from an MP3 module and turn on an LED at the same time would be pretty simple.
Some of these have a pin you pull low to trigger one of say 8 sounds, others you send a simple serial message.
http://www.mdfly.com/index.php?main_page=advanced_search_result&search_in_description=1&zenid=470ff33cf13bcbb09625ac3e0ffe4938&keyword=mp3
Connect the output to a set of selfpowered PC speakers like you might find with a desktop computer sound system.