What speaker can you drive with output pin?
The Arduino can supply 5V at max 20mA so 5/0.02 ⇒ 250Ω (if you can find such a beast).

NOTE you should use a capacitor to prevent DC flow if using a conventional speaker.

In general the larger the speaker the better. Tiny speakers are inefficient transducers. Hi-Fi speakers are not a good choice, as they are often inefficient, trading efficiency for linearity.

An alternative, if you are a scrounger, is to scavenge a transformer from an old transistor radio - this should give the best match.