I agree with everything GM has commented on..
the price is cheap (for them) because hey have the backing/money to buy in thousands, 10's of thousands.. or even millions.. for a great price break per component.. (I doubt they only made a couple 100 of a "TOY" in a factory..set-up wouldnt justify the costs vs qty)
that being said..
there are other options..
but its up to you decide what qualifies for you and your needs I guess.. such as costs? space/size? etc..
You can use an Adafruit Waveshield.. with your Arduino..
thats an EXTRA $25.00 (or so) on top of the Ardiuno costs..
but it gives you ability to swap sound files on the micro SD at any time you want. (and plays native .wav files)
you can read up in this module (posted here)http://arduino.cc/forum/index.php/topic,117009.0.html
ad see how others are using it.. (dont quote me.. but I thik it needs an AMP still)
prices are cheaper only a few bucks per module if I recall..
Lastly there is a library posted here called SimpleSDAudio..
that takes audio files from an SD card..and plays them natively through PWM and PWM pin 9
Files need to be converted to .afm format (but its as simple as drag/drop file on the bat file included in library)
you cant a plain Arduino and get 'audio' out on pin 9.. no other components needed.
**That being said though.. the audio quality is NOT very good as is/stock...
It could benefit from an AMP.. and probably a low-pass filter of some kind.
(ask Grumpy Mike to help on this..
hes a audio wiz/audio experienced member)
I have used the SimpleSDAudio lib on a plain, minimal Arduino circuit..
+3.3v, internal 8Mhz clock... no v.Rgulator, very minimal design..
no filter, no amp..https://www.youtube.com/watch?v=unyKKA1JOnw
very 'basic' audio...