You can download the files and play them in your DAW as well, through your studio monitors. You are never limited to your laptop speakers.....headphones too as many mentioned. My Sony MDR-7506 and Sony V6 cans sound great. The MacBook Pro also has an optical out so you get great digital sound capability.
I will say though, that listening to your mixes on crappy, basic laptop speakers and also a mono tower speaker if you have one, is cool because you can see how your mixes are translating. Some people are
going to listen on their laptop, at work, sitting at a table at the sidewalk setup of the cyber coffee shop etc..........is your mix hot enough, is the separation good, is the low end just killing the tiny cones causing distortion? How about in mono? Is the entire mix nice and audible or is the spread too wide and some aspect of the mix is very muted due to phase cancellation issues? I think it is important to test your mixes on laptop speakers since so many people use them nowadays.
I have all sorts of monitoring but I recently got one of these as a solution. It makes a dramatic difference.
http://www.amazon.com/Macally-TUNEFAN-Speakers-Subwoofer-Cooling/dp/tech-data/B002PAQY76/ref=de_a_smtd
What is nice is the cooling fan, something I really need with my MacBook Pro C2D. It get's hot!!!!
The sound quality is not awesome but is definitely MUCH better. At first I was like.....yeuch!! but I have got used to it now and find it perfectly fine, nice in fact.......even going between it and my studio monitors which are very nice. I find it better than any consumer grade 2.1 speaker system I have tried in the same or similar price range. I have a couple Altec Lansing and also the Creative Labs offerings, two of those.....it kicks ass over them. My buddy has a stereo Harmon Kardon Soundstick deal (no sub) and to my ear it sounds way better than that. I'm happy.
It is loud enough that, with a typical current release that has been mastered loud, it is uncomfortable to listen at full volume when working on the laptop. Sometimes if I am doing something on the other side of the den or in the kitchen and my laptop is elsewhere, I will turn it up full.......doing housework and such. Stays pretty clean when dime'd also.
What is nice also is that I can route Pro Tools into it. Currently I am studying an online Pro Tools video tutorial to sharpen my skills. I can route the audio from the downloaded videos to the MacAlly and also my opened Pro Tools sessions with the audio examples and demo's running and bounce back and forth easily as I perform the tasks.