I prefer OpenAL, as it is totally free.
I don't know why module playback is not an out-of-the-box feature. Blitz BASIC 2 could play mods so it's not like Mark doesn't know to do this stuff.
I've been looking at the DUMB docs this evening and I guess its output could be directed into a TAudioSample for playback - but it would be a stretch for me to wrap the library (ultra-lite C coder, you see) and it's not like I can do a trial run with the demo. Until the 3D module comes along and blows our socks off I can't help but see (the entirely free) AllegroGL as the more holistic environment. Man, I'm a tightwad.