Just as an addition to the previous answer:
Some spacecraft that landed on other cellestial objects carried microphones to record what can be heard.
For example this video http://youtu.be/36ffV-CI3Mo contains a sound clip recorded by the Huygens probe during its descent on the moon Titan.
As far as I remember there are similar recordings from Venus, as short a time as some probe can survive on this beautiful hell hole :-)
So yes, there is definitely sound on other planets if they have sufficiently dense athmospheres.