According to BLDGBLOG, there's an article in the New Scientist lamenting that while we have been to other planets, no one has ever taken the time to record what it actually sounds like there.

Apparently on Mars, since molecules in the atmosphere are about 120x further apart than on Earth, what would carry 1 kilometer on Earth would only travel about 16 meters.  On Venus - where the surface pressure is 90x Earth's - you would essentially only hear the deepest sounds; all treble would be gone.

Interestingly enough, apparently the Soviets landed a microphone on Venus back in the early 1980's, but no one's really sure if they actually picked up anything (just a few dull rumbles that could have been noise).