You can still get digital audio out via HDMI so if you plug it your Pi into a monitor with speakers, that will work fine.

Uh, well, there aren't any! That's right, to keep the Pi Zero small and low cost, the headphone audio filter isn't included

Well, ok that's not the whole truth

Well, ok that's not the whole truth

Hey, wanna do the below but with step-by-step instructions? We wrote a tutorial!

GPIO #18 is also known as PWM0 and in the original Pi was coupled with a very basic RC filter to create the audio output:

If you don't mind getting a few 150 and 270 ohm resistors, and two each of about 33nF (also known as 0.033uF) and 10uF capacitors, you can basically recreate those two filters.

Now all you need is access to PWM0_OUT and PWM1_OUT, which are...on GPIO #40 and #45 and are not brought out on the Pi Zero. Tragedy? Give up? No! You can get to PWM0 on GPIO #18 (ALT5) and PWM1 on GPIO #13 (ALT0) or GPIO #19 (ALT5) - see the full list of pins and alternate functions here

You can do that by adjusting the device tree overlay to change the PWM audio pins from pins #40 and #45 (which are not accessable) to pins #18 and #13 This very nice Pi forum thread will tell you how!

See here for a program that will let you set the alt forms of GPIO pins