It's similar for me. I can play audio, and then I can't. :-) It seems that sometimes resources aren't made available after closing off a program, or something like that.
Just now I played a movie with mplayer. No problem, audio works fine. Next movie: no audio (SDL: Unable to open audio: No available audio device). Next I open XMMS, play an mp3 file (no problem), start the same movie again with mplayer, and viola, audio comes up.
I use the same (onboard) audio device as neo, on an MSI motherboard.