Updated June 12th, 2019.
In older macOS versions you could adjust your Mac’s volume from the keyboard and hear how loud you’d made it as you pressed the volume up and volume down buttons. For some reason, the audible feedback is now gone (by default). Get it back by holding the Shift key down as you tap the volume up and volume down buttons.
You can also go to the Sound preference pane and check the box to enable the sonic feedback, in case you want it permanent.