How do I make the 'beep' command work?

although over 2 years old i found using beep still to be an issue on my ubuntu 12.04 based system.

after making sure the beep mixer level is > 0 through alsamixer the solution to a similar question at this askubuntu answer worked fine for me; it boils down to un-blacklisting the pcspkr module in /etc/modprobe.d/blacklist.conf. Or you can just do sudo modprobe pcspkr for a temporary solution.

as described in the accepted answer a more pleasant audible notification could be achieved through playing some notification sounds present by default on most systems such as (for gnome based systems) e.g. paplay /usr/share/sounds/gnome/default/alerts/glass.ogg

note that paplay (using pulse audio) might nowadays be the way to go instead of the alsa-based (but still working) aplay.

Does it have to be the system beep or can it be any sound?

You have a command on your system to play command line sounds. For instance open a terminal with Alt-F2 and

cd /usr/share/sounds/alsa/
aplay Front_Center.wav

will play this Front_Center.wav.

So all you need is to find a beep.wav on the web and use aplay with it.