Output to 3.5mm female jack from microcontroller
Assuming you want stereo audio output, you can have the MCU talk to a codec chip using something like I2S, and have the codec produce analog signals that can feed the output amplifier. 

There are one-chip solutions for this kind of thing, for example, this TI part which contains a modest headphone output amplifier as well as mini-DSP functions. There are simpler chips such as this one.