Yosemite volume up and down doesn't make a feedback sound
Solution 1:
This is an intentional change of the preferences.
You can turn the audio feedback back on in System Preferences -> Sound and checking Play feedback when volume is changed
Solution 2:
Perhaps you want to leave it as it is right now, I prefer it this way because sometimes the click sound it produces can be painful (any way, now on Yosemite it doesn't sound that loud). What I do when I want to hear the volume indicator is to press "shift + volume key" and it will play the volume indicator again just for that time.