Question: I really like how smoothly XFCE works and prefer it to GNOME, so I would like to weigh it up a bit. ;) Is there a way to play sounds on certain system events? The most useful that comes to my mind is after finishing copying, but maybe also on deleting a file or in other circumstances like there are sounds in Mac OS X or Windows?

Answer: 
Check also

Applications → Settings → Xfce 4 Settings Manager → Appearance → Settings → Event sounds → [x] Enable event sounds

for some kind of sound support
The last time i checked xfce did not support system sounds. This might prove useful

<http://ubuntuforums.org/showthread.php?t=853173>