When I used Windows (sorry for bringing it up,) I could specify in the sound control menu which programs I wanted playing through which speakers. For example, I could have Skype playing through my headphones, while having a game playing sound through my loudspeakers.
Now, I know that this is possible using some virtual output options, but I have another problem: on Linux, whether I select "Headphones" or "Analog Output", the sound goes through my headphones if they're plugged in, and the only way to use my speakers is by unplugging them. I'm using the headphone port on the front of my case, and the audio port on the back of my motherboard, and I don't have a dedicated sound card, so I know this might be a hardware issue. However, I know it's possible, because I was able to do it through Windows.
A few more details: I'm currently using PulseAduio, but I'd be happy to ditch it. I'm using Kubuntu. Finally, I want to clarify, as I've seen some people answer others incorrectly due to a lack of understanding: I do NOT want to mirror my sound across both devices. I want SOME applications to play through my speakers, and other apps to play through my headphones.