Is there a way to listen to the input sound on Mac OS X?

Take a look at Rogue Amoeba's LineIn. It is a free application which will allow you to do what you want.

"As originally suggested by qu1j0t3, Apple's ""AU Lab"" provides the ability to listen to the audio input in real-time. (Well, nearly in real-time; for me there is a slight delay from input to output.)

Download from here: www.apple.com/itunes/mastered-for-itunes/ (thanks alex r. g.!)
Direct link: images.apple.com/itunes/mastered-for-itunes/docs/au_lab.zip

(If those links die, it can also be downloaded from Apple Developer Tools, which may require an Apple Developer account.)

Download from here: developer.apple.com/download/more/ > search for ""AU Lab""
Direct link: download.developer.apple.com/Developer_Tools/au_lab/au_lab.dmg

Usage:

In the Document Configuration window, select the existing ""Stereo In/Stereo Out"" configuration. (If the Document Configuration window is not already open, click File → New to open it.) Then click the Create Document button in the bottom right corner.

In the new ""Untitled"" window that opens, ensure the icon at the bottom says ""Audio Engine Running"" (or click to toggle if it says ""Audio Engine Stopped""). If necessary, adjust the system's overall input and output volume settings in System Preferences → Sound → Input."

Another option is "AU Lab" in Developer tools (Developer/Applications/Audio/AU Lab).

"If you want to use the terminal, you can install sox (i.e. with Homebrew brew install sox) and then run
sox -d -d

Here, -d means ""default audio device"", and this command specifies it for both the input and the output, i.e. microphone and speakers/headphones.
You can decrease latency by decreasing the buffer size (default 8192), try what works for you:
sox --buffer 1024 -d -d"

"2020 Update:
Best way:
I have an mbox with a condenser mic. When I run the audio thru that, 0 delay and your headphones can be true monitors. I bought a Snowball for ease tho, its a lot to setup.
My solution:
Garage band had the best delay for me.
Open garage band in the background. Create an audio track and turn on the monitor icon on the track. Shut off any effects.
Easiest solution:
Audio Hijack was next best. Its 60 bucks but seemed like cool software if you had more to use it for. Good be noticeable delay. www.rogueamoeba.com/audiohijack/.
Free:*
Sox but it had a surprisingly long delay for a CLI. See @billfraser's answer"