Sound is a wave, and like all waves, sound carries energy. Sound transmits that energy through a medium by making small regions of greater (and lesser) pressure many times a second. The fact that sound is a form of energy is most obvious when two objects collide; they lose some of their mechanical energy to sound (in the form of a crash). Likewise, when the surfaces of two objects scrape together, friction makes the molecules vibrate, which creates the pressure waves that produce sound. That means that sounds coming from machinery can tell you that it's losing mechanical energy, like with grinding gears.
These pressure waves bouncing off of walls and other objects make the sounds less distinct and ordered (the human ear can no longer figure out what's being said after the sound bounces around). Eventually, sound turns into thermal energy, warming the system (usually air). There are exceptions, but usually this small amount of warming is generally hard to detect without special equipment.
There are many interesting things to learn about sound that are beyond the scope of Energy Education but still worth learning. A great place to start is hyperphysics or playing with the phet from the University of Colorado.