Do prebuilt gaming PCs come with integrated sound out of the box?

Solution
You would need speakers or a headset. I would aim for a headset as decent speakers are quite expensive where as pretty decent headsets are usually around 50 USD. Logitech, Corsair, HyperX all make good stuff.

Dugimodo

Distinguished
It's a preference thing, I personally hate to wear headsets for any length of time. Logitech have a good range of affordable 2.1 speakers with surprisingly good sound and I'd recommend them.

I have the Logitech Z333 speakers myself and they replaced a nice pair of desktop speakers and amp combo I was using, it doesn't match up to the quality of those but is a lot more compact and a tiny fraction of the cost and still sounds good.