With this pin we can make a digital-analog conversor, we can make our arduino speak easyly...
You could do a lot with a built in hard-drive, a 64 bit processor, a built-in display device, a keyboard and a ton of other things. What you do get for $4 is pretty amazing.
No true digital to analog converter on the AVR chips supported by the Arduino platform. You can simulate a true 8 bit D/A by using the PWM output commands, wired to a simple low pass filter followed with a op-amp to buffer and possibly scale a true analog output voltage. Otherwise there are many easy to use external D/A chip/modules the utilize I2C or SPI communications with the processor.
Lefty
I know of no embedded controller with a built in digital to analogue converter. This is probably because the proximity to all that digital circuitry is going to mess up the small analogue output voltages. You get much better isolation by having a different chip.
The Arduino is basically only a chip, with the minimum needed to get it going. Yes you can start adding all sorts of things as standard but then the price goes up and you end up paying for what you don't need. Better is the situation we have, if you want something make it to add on or get a shield.
PSOC from Cypress has a 8 bit DAC, http://www.cypress.com/?id=2233, but a bit more expensive than an Arduino
One more creature with build-in 2 DAC (12-bits): Maple | LeafLabs
Basically, there are a lot of "clones" around cortex-m3 core, Pinguino, Olimexino etc.
Build an R-2R ladder 8 bits wide, connect it to the Q outputs of a 74LS595, and write to it using the shiftOut() method. Use 1% or better tolerance resistors and have a pretty darn close analog output. The crux is the write cycle is blocking and won't run in the background like the hardware PWM does. Benefit: you can fan out to as many bits of precision as you want to and the last byte(s) written remain in effect until new ones have been shifted in.