My Windows XP guest operating system on Ubuntu Jaunty host was not giving any audio output. I checked the Settings of the VirtualBox OSE, and in the Audio Settings, it was set to Host Audio Driver - ALSA Audio Driver and Audio controller - SoundBlaster 16. I changed those parameters to PulseAudio and ICH AC97, and restarted Windows XP host machine. Wow.. all the audio applications on my Windows guest is playing cool now. But I tried to play an audio clip on my Ubuntu host. Alas! No sound in my Ubuntu host now! I shut down the Windows XP guest operating system. Then all the audio applications were running as usual in my Ubuntu host operating system.
I tried to start Windows XP guest while listening to an audio clip in my Ubuntu host operating system. A warning appeared as the Windows loaded and Windows started, yet again with no sound at all. Hence I came to the conclusion that, currently for my host/guest operating systems combination (Ubuntu Jaunty / Windows XP), audio will be available either to guest or host, but not to the both at once. Seems this bug is found and reported in VirtualBox OSE bug databases when I did a google search for this.
An update: Recently I was able to get the audio in both the host and guest simultaneously, without any further modification. I guess, at that time some other processes were blocking the audio sharing between the host and the guest.