A recent article in Nano Letters (L. Xiao et al., Nano Lett (2008) ) describes how the authors discovered that a thin film of carbon nanotubes produces sound. The film is very thin (several 10s of nanometers thick, i.e., less than a millionth of a meter thick), flexible, stretchable, and transparent. To make a speaker, just attach electrodes to each end! They obtained sound pressure levels comparable to commercial, conventional speakers (about 95 dB from ~3 W input power).
Strangely, the film itself does not vibrate. The authors believe that the sound is generated by directly heating the air. They also speculate that the film will be useful for making microspeakers, applying it to clothing, etc.