After Yosemite, the volume adjustment doesn't make noise?
This bugged me as well.  You can change it by modifying the sound it plays.  Open Terminal.app and execute the following commands.  

First navigate to the following directory:

cd /System/Library/LoginPlugins/BezelServices.loginPlugin/Contents/Resources


Then make a backup of the Yosemite sound, if you want to.

sudo cp volume.aiff volume_backup.aiff


Move the old sound file from Mavericks (or anything you want), found in the link below and rename it to volume.aiff.  (If you use the link below it will already be named volume.aiff afer you extract it)

sudo cp "~/Desktop/mysound.aiff" volume.aiff


Change ~/Desktop/mysound.aiff from above command to the path to the new sound file you want to use. 

Restart for it to take effect.  

Original sources I used below:

MacWorld Change Volume Sound

Macrumors forum with original sound.aiff