Try going through all the hardware options in Sound Preferences as
your sound card might work better with something other than the
default setting that's applied on install. Also it might sound silly
but if you have a surround sound card ( i.e. more than 3 sockets ) the
sockets are not always mapped as marked so it's worth plugging into
different ones and seeing what you get whilst trying the hardware
options.

You should be able to feed in through line-in or microphone and hear
the output through the speakers - just a case of getting the settings
correct for your hardware.

BTW - the main reason for this problem is sound chip firmware that is
written to use Windows API's for processing rather than doing it on
the chip. It's a cheaper way of developing the firmware but can cause
hiccups for other OS's !