There are three basic ways of creating a DAC.
The simplest, though roughest, is to use PWM, then low-pass filter it. Not perfect, but rough and ready. Only needs a resistor and a capacitor.
The highest quality way, though slowest for interfacing, is to use an external DAC chip. Fine for low frequency response reproduction, and the linearity is second to none. The MCP4821/2 is a popular choice (SPI connected).
The third option is to build your own DAC using an R-2R ladder. You can make an 8-bit DAC with very fast response by using all 8 pins of a single IO port (such as pins 0-7 on the Uno are bits 0-7 of port D). However the linearity of an R-2R ladder very much depends on how well matched your resistors are.
The R-2R ladder should be buffered with an amplifier of some form before driving a low impedance device like a speaker.
None of them are really great for audio work - for that you need a chip with much more processing power and memory, and a high speed digital audio interface, such as I2S, to interface a proper audio CODEC chip. Personally I use PIC32MZ chips for audio work.