Changing the Sound Volume without the clicking
On my keyboard when I press the speaker keys (F11 and F12 on the right of the top row of keys) the volume goes down or up but is accompanied by an annoying click. There is already visual feedback so I don’t like the clicks on top of the sound which is what I am trying to listen to. (Not all keyboards have these controls, by the way.)
To stop the click you can hold the Shift key while pressing the volume keys. Even better, to do it permanently, go to the Sound Preferences panel and under Sound Effects, uncheck the box that says Play feedback when volume is changed. Now you can just press the volume keys and not hear the clicking. If for some strange reason you want the clicking temporarily, if you hold the Shift key while hitting the volume keys it will reappear.
Want fine control of the volume? If you hold down Shift-Option while pressing the volume keys the change will be only 1/4 of a step for each press. Again this only works for some keyboards (and OS versions apparently).