Is there any such program for Linux? I'm using Gnome and Ubuntu 9.10.
xset c doesn't seem to work.
This doesn't really answer the question, but I'm going to go out on a limb anyway and suggest that you invest in a quality, buckling spring keyboard. That way, not only do you get the nice clicky-sound, but you get the robustness and "feel" that only come with that type of construction.
They are still being made, in beige and black, with and without "Windows" keys, and with USB connectors. Google is your friend.
I use them daily on Windows and Linux machines, and have never had a problem. I don't own a non-ADB Mac, so I can't say how they work there.
Look at the Gnome Accessibility options. Read the section on "Keyboard Accessibility Audio Feedback"
OK... buyer beware; this is a total guess.
I can't get keyclick working either (i.e. xset c 100 didn't work for me either) and I wanted to share this before trying steps 2 and 3 above.
Hope this helps (us both!)
EDIT: http://wiki.archlinux.org/index.php/PulseAudio leads me to believe it's the pulse_access group not the audio group; additional steps may be needed as well. The switch to pulseaudio seems to have introduced a few wrinkles, huh?