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
@tinhead: yeah, great link and another in the thread you gave:
<http://ubuntuforums.org/showthread.php?p=3907604#post3907604>

Running /usr/bin/play (#apt-get install sox) is a way to go - just like Orage uses it for alarms (on a sidenote I was wondering why orage doesn't specify sox as its dependency). There are some sound sets in the software repository
apt-cache search 'sound'
perhaps with | grep -i theme