Have a look at
NAS, the Network Audio Server. It does for sound what X does for video. The only caveat is that the application has to be NAS-aware. It's available in the ports tree (audio/nas), and most of the more popular apps support it. Even artsd, for KDE3, supports NAS. You may need to reinstall your audio/video apps to enable NAS support.
A quick tutorial is available
here.