Real Speaker (not Piezo)

OK, to connect a guitar amp, use one of the less sensitive inputs (something that you'd use for a synth, say, or a line-level CD input). Wire a voltage divider from the Arduino pin to the amp. That means, put a large resistor in series with the pin, then a smaller resistor to ground. Take the signal from the junction of the two resistors (there's a diagram on that Wikipedia page). To reduce the signal sufficiently, you'll probably need the larger resistor to be at least ten times the smaller one. Maybe twenty or fifty times, depending on the amp.

To start with, try 10k and 1k Ohms, and if that's too loud (start with volume turned down), try 22k and 1k, or 47k and 1k.