I agree... There are various audio boards/shields that have a slot for an SD card to store the files and a DAC and everything else that's required to play sound. The Arduino just acts as a "controller" that determines what file is played, when it's played, and the volume, etc.
The basic Arduino doesn't have a DAC and most of the processing power is used-up driving your LEDs.
You can also make it react to the sound. For example, usually dance lighting is sound-activated whereas lighting for a musical stage performance is usually hard-programmed.
I've made a few sound-activated lighting effects and I posted The World's Simplest Lighting Effect.