I'm running a MacBook Pro (late 2011 model) that has a recent OS X upgrade to version 10.8.1. For some reason, when the MacBook Pro is docked to the Thunderbolt display, it no longer sends sound out the Thunderbolt display, but instead uses the tinny MacBook Pro speakers. I looked in Preferences to see if there is some way to get the big display to handle the sound. Any ideas?
Run Software Update with the TB display connected, it may require a firmware update. (edit: changed from comment to answer)