Use a high-impedance speaker together with a small transformer.
Or, if your sound frequency doesn't vary very mutch, use a piezo
transducer in parallel
with an impedance of some mH.
I 've used this for an alarm device. Produces VERY loud sounds.

>----------
>Von:   Werner Terreblanche[SMTP:wterreb@PLESSEY.CO.ZA]
>Gesendet:      Montag, 7. April 1997 12:21
>An:    PICLIST@MITVMA.MIT.EDU
>Betreff:       Driving a speaker directly with a PIC
>
>I've got a simple question, but would really welcome some comments by
>other people who had similiar experience.
>
>I'm using a PIC in a battery operated device, and amongst other the
>PIC must output some sound on a speaker.  My question is... how do I
>increase the sound volume without draining too much extra power.   My
>current method is to use two I/O pins that would always reverse polarity
>and thus give you evectively 10Vpp swing across the leads of the
>speaker. And yes, I do have a capacitor in series to protect the I/O
>pins!  :)
>
>However I find that the sound is still not loud enough.  Would it
>help to rather use a transistor to drive the speaker?  Would internal
>impedance mismatch with speaker have a great influence on the volume?
>Is there any type of small amplifier that runs of the 5V supply that
>someone can recommend?
>
>I will appreciate  some advice.
>
>Rgds
>Werner
>--
>Werner Terreblanche     http://www.aztec.co.za/users/werner
>wterreb@plessey.co.za (work)  OR  werner@aztec.co.za  (home)
>Plessey SA, PO Box 30451,Tokai 7966, Cape Town, South Africa
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