You can use blender's speaker object to add sound to your scenes. The speaker object's world space location is used. This allow for basic sound spatilisation, i.e: if object is far from camera, sound is weaker.
Adding sound to a specific object
Setting a speaker as a child of a mesh will make the sound and mesh's locations match, resulting in the illusion that the sound is following the mesh.
To set a speaker object as a child of a mesh, firs select the speaker, then the mesh, and hit Ctrl+P, then select "Set parent to object" :
Adding a static sound to the scene
If a speaker object has no parent, it's location will not change and will remain the same in the scene.
Speaker properties
You can use the speaker's data tab to set the audio file, volume, volume_min and volume_max settings.
For now, volume_min and volume_max are not used, but are planned to be.