A test probe/circuit tester goes beep if a voltage (signal is present) and this is attached to a multimeter
Mark's audio probe you connect to an amp and it will go a bit further than that and play music (if that is what is travelling around the PCB at the time) - i think...
There's another type that is often invaluable: It's the "Hound" part of a "Fox & Hound". Also known as an "inductive probe", but the ones I've seen are not inductive, they just use ultra-high impedance inputs.
Useful for wire signal tracing, signal sniffing and general audio "Dude, Where's my signal" use! Battery powered, handheld and no ground clip necessary.
At my job, we have a "Fox and Hound" set, as well as a Whirlwind "Q-Box", and they're both used constantly.
As an aside: the Q-Box is an incredibly handy tool and seems a good candidate for DIY (if one needed to save a few bucks), but I never seem to find the time to crack one open and trace it out.