Testing an 8-ohm speaker
Speakers are AC devices, the cone will move with the waveform to make it audible. However, like Matt says, you should hear a click when you connect a DC supply, and another one if you remove the source. That doesn't contradict the AC behavior; when you connect the power supply the voltage steps up and for a very short time you get a alternating current. Striking a power wire against the connection may give you something more audible.