Can I get sound out of both iMac and attached Thunderbolt Display?
Yes, it's possible.

By creating an aggregate device, you can combine the audio interfaces of the dual Apple LED Cinema Displays into a single speaker.

Here's an overview of the process:


Open /Applications/Utilities/Audio MIDI Setup
Click + to add a new Multiple Output Device
Select one or more Display Audio devices
Adjust the volume slider for each Apple LED Cinema Display
Right click on the new "Multi-Output Device" and select "Use this device for sound output" and "Play alerts and sound effects through this device".




There is one caveat to this setup — you can't adjust the volume using either the keyboard shortcut or the speaker icon, as it appears disabled in the OS X Menu Bar&dagger;. you can Option + Click to toggle between audio output devices though.

Sunflower is an open source third-party app that will give you the volume control back, but since it's a kernel extension you should understand the implications before installing it.

Another software to use that isn't a kernel extension and can perfectly overcome the obstacle of not having control over your volume buttons is by using Sound Control. It actually gives you back your volume control buttons on your keyboard. Plus it has a 14 day free trial.