I have imported my movies from a Canon DV camera. PE shows an audio track, and plays the audio when I drag the slider in the timeline, but there is no audio when playing the clips! The audio is not present when the project is exported either. Using PE 9 on a MacPro with MacOs 10.6.5.
Right-click on the Monitor and select Playback Settings.
On the Playback Settings screen, set audio to Desktop Audio. If that doesn't work, try External Device.