A ubuntu geek is here!
The problem could be:
A) The cord from the speaker to the computer is frayed or otherwise damaged
B) You are plugging it in the wrong port (I have done this many times)
C) Speakers are utterly and entirely broken
D) A ubuntu problem!
Subsets of ubuntu problem:
-->A) A motherboard to headphone jack problem
-->B) A jack problem
-->C) A speaker problem
However, I highly doubt DA and DB because your headphones do work.
Could you please provide a speaker model, if possible? (If you don't find it, don't worry, I'm not sure what model my speakers are either.)
EDIT Alright, according to this picture:
It looks like ubuntu sees the audio, but isn't sending signals to it correctly?
Are you sure you don't
E) Don't have the volume turned up
But assuming, yes, its blasting at 100%, I'm going to comb the internet for answers. I'll write me an answer when done.