I think the reason this isn't working for you is because that interface has been deprecated. You normally can't write audio using /dev/dsp anymore, at least without being tricky.
There is a program that will accomplish this for you on your system: padsp.
This will map the /dev/audio or /dev/dsp file to the new Audio Server system.
Fire up the terminal and get into root mode with sudo su.
Then, I'm going to cat /dev/urandom and pipe the output into padsp and use the tee command to send the data to /dev/audio. You'll get a ton of garbage in your terminal, so you may want to redirect to /dev/null.
Once you're in superuser, try this command:
cat /dev/urandom | padsp tee /dev/audio > /dev/null
You may even want to try with other devices, like your mouse: Use: /dev/psaux, for instance or the usb driver. You can even run your memory through it:
/dev/mem
Hope this clarifies why it wasn't working before.
Personally, I found the mouse and memory to be way more interesting than playing random static!