Shield - Adafruit Wave v1.1(KIT)
It can play up to 22KHz, 12bit uncompressed audio files of any length. It's low cost, available as an easy-to-make kit. It has an onboard DAC, filter and op-amp for high quality output. Audio files are read off of an SD/MMC card, which are available at nearly any store.
Volume can be controlled with the onboard thumbwheel potentiometer.