In previous versions of OS X, the volume control would make a clicking sound when adjusted. As of Yosemite, the default setting is to have no audible feedback when adjusting the volume. This is a welcome change since often while wearing headphones, with volume at max, a person would go to adjust the volume and practically damage their hearing from the loud clicking noise.
If you miss the audible clicking sound during volume adjustment, you can get it back. It’s in System Preferences under Sound as shown below. Just put a check mark next to “Play feedback when volume is changed” to get audible feedback. Click the image below for a larger view.