The audio works well and my laptop speakers as well as the headphones get the output from the system. However, when I go to Sound Settings and try to set "Analog Output" as the Connector, there is only one option, "Analog Speakers", which obviously outputs the audio to the speakers and even to 2 extra sets of headphones simultaneously.
Nevertheless, I cannot have the computer output audio to the headphones only, as would be ideal to not bother everyone else in the room. This option was available in previous versions of Ubuntu. I am running 11.10, and I know it's not the desktop environment; I've tested the configuration in Unity, Gnome Shell and Cinnamon, and quickly realized this has nothing to do with the shell, but rather (probably) the Pulse server.
I also have Debian 6 (squeeze) on my laptop and the option is present there and works just fine. Here's a snapshot of the Sound Settings window on Ubuntu 11.10 and the only "Connector" alternative that you can see I have:
I've already tested all the combinations of settings in all 5 tabs (Sound Effects, Hardware, Input, Output and Applications). There aren't that many settings so it didn't take long. I've seen this feature work on my computer with elder versions of Ubuntu and, as the hardware hasn't changed at all, I don't see how a new version of Ubuntu wouldn't recognize my hardware properly.