Figure 2 shows a subtitled frame from Sun's Starfire video. Doing so does not proportionally increase the file size since the black area compresses very nicely. The main benefit of audio is that it provides a channel that is separate from that of the display. Speech can be used to offer commentary or help without obscuring information on the screen. Mood-setting audio should employ very quiet background sounds in order not to compete for the user's attention with the main information.
Music is probably the most obvious use of sound.
Whenever you need to inform the user about a certain work of music, it makes much more sense to simply play it than to show the notes or to try to describe it in words. Speech is also perfect for teaching users the pronounciation of words as done by the French wine site. These kinds of background sounds have to be very quiet and nonintrusive. Also there must be a user preference setting to turn them off. The classic example is the video game study where users claimed that the graphics were better when the sound was improved, even though the exact same graphics were used for both the poor quality sound and the good quality sound experiments.