Steven Tweedie
That bubble-popping sound is designed to help Mac users adjust their volume without having to look at the screen (and when no sound is yet playing), but some people find it annoying.
Luckily, Apple has made it incredibly easy to turn off, and it even removed it as the default sound in its newest version of OS X, Yosemite.
But if you're running an older operating system like OS X Mavericks, you can turn the sound of completely by going to System Preferences > Sound and unchecking the box for "Play feedback when volume is changed."
Steven Tweedie
If you'd rather not mess with your settings, Reddit user IZZIT_ALIVE also points out that you can simply hold down the "Shift" key while you adjust your volume to temporarily hide the sound instead.