I have tried this on OpenTTD v1.2.2 and v1.2.3.
On Ubuntu 12.04 and Windows Vista (on two entirely separate computers), which are both 32-bit systems.
The music was working initially when I was using Ubuntu Software Manager to play the game, and that was 1.1.4, it worked straight off the bat because it was all downloaded I assume, the graphics, sounds, music, everything. I did some research and found out that 1.1.4 is an outdated version, so I downloaded the new one and installed it, then, as stated above I used the online content system and downloaded the base files. OpenSFX works fine but OpenMSX has no sound.
I downloaded OpenTTD 1.2.3 on Windows Vista and the exact same problem occurs.
I'm stumped, especially since this is on two entirely seperate computers with different OSs.

Thanks in advance!