Update: I found that there is a specific order that needs to be followed in order to successfully restore Sound Effect playback.
I recently switch my full time OS from SL to Lion and one of the bugs I have noticed is that anytime I let Lion put my Mac Pro to sleep I loose playback of all sound effects. For instance doing a screen capture (Apple Key (CMD) + Shift + 3) does not play the shutter sound, and iChat does not play any sound effects (ex: incoming or sent messages, buddies coming online, requesting an audio chat, etc),
This is even more strange when considered in conjunction with what does work! For instance, in the iChat preferences, if I edit the sound effect played for any event the sound plays correctly. Yet when an actual event occurs in that should play that sound effect … nothing. Of course, I verified that all of my audio output selections and volumes were correct (and all sound plays correctly when verifying these items).
After a lot of googling I came across this post about iChat not playing alert sounds which had the solution, at least in my case. To test and see if you have the same issue, open System Preferences > Sound > Sound Effects and change the alert sound. If it does not play, you likely have the same, or very similar issue, that might be resolved following these steps.
Possible Solution:
To resolve my iChat alert and system wide sound effects not playing problem I performed the following steps (in order, or sound effects playback may not be restored):
- Open System Preferences, click on the Sound pane.
- Change the Play sound effects through device selection (ex: from Line Output to Internal Speakers)
- Select a new alert sound (ex: from sosumi to purr)
- Restore the Play sound effects through device selection
- Restore your alert sound to it’s original selection
Example Original settings:

After changing the output device and alert sound:

After restoring original settings:

That Didn’t work!
If the above steps do not work, it is suggested that you might be able to correct the issue by deleting the file:
/Library/Preferences/com.apple.audio.DeviceSettings.plist
and then restart your mac. Note that this is the /Library preferences and not ~/Library preferences.
Got A Solution?
If anyone knows either why this happens in Lion after waking the machine from a sleep state, or (even better) how to prevent this from happing, please post a reply!
I called Apple. They had be reset my Pram and the sound came back.
To do this, Shut down you computer.
Hold down Command, Option and the P and R keys and restart your computer while holding these keys down.
Keep holding them down until you hear three reboot chimes. There will be a few seconds between each of the three chimes.
After the third chime you can release the Command, Option and P and R keys.
There may be a fourth reboot chime after you release these keys but that is not something to be concerned about
This process resets your PRam (Perimeter Ram) which controls some of the computer sounds
Open your trash. There should be a “recovered files” in the trash. Empty the trash and you should hear the usual sound that goes with that action.
Open your System Preferences, go to the Sounds icon and open it. Select Sound Effects and click on the various available sound effects. if they produce sample sounds for you.
YOU NOW HAVE YOUR SOUND EFFECTS BACK.
Have same problem as you have stated on my Macbook Pro running Lion 10.7.2 and the steps you provided solve the problem.
However, I use a different step and it work too
1. Change Play Sound Effects Thru from the set device, in my case Internal Speakers, to other device, in my case Soundflower 2ch
2. Change Alert Volume level by sliding the slide bar to a new location
3, Switch Play Sound Effects Thru back to the desired device, in my case, from Soundlfower 2ch back to Internal Speakers
4. Chnage Aletr Volume level back to the desired position
The sound effects will come back.
But I want a permanent solution so that sound effect will not stop working if I hibernate my Mac or in many case, just sleep my Mac by closing lid