How can I play the sound from the audio in through my speakers?

I have got a Macbook Pro 15" that has both an audio in and out port. Now I would like to play the sound from an external device through the speakers of my Mac. How can I do that? I tried to just plug in the 3.5mm cable from my external device into the audio in port but I simply cannot make my Mac play the sound. However, in System Preferences -> Sound -> Input I can see that the Mac is receiving the signals. What can I do?