Photoshop can open .mov files so if needed, convert your audio to .mov. Then, make sure that you have the Audio Playback option enabled by clicking the small icon that looks like a speaker on the Animation (Timeline) panel to listen to the audio. Drag to reposition the in and outpoints if needed and render (File > Export > Render Video) as a QT movie to maintain the audio layer (all other formats will delete it).

I’m using CS4, and don’t see a the speaker icon in the Animation timeline.
If I remember correctly, you can hold down the option (Mac) / alt (Win) key when playing the animation to hear the audio (but I no longer have PSCS4 Extended installed to test it).
Bull**it that I have to go apple for sound. Fail.
This post is from PSCS 5. If you have PSCS6, we have added the ability to export to audio and video to H.264.
Whenever I try to import the .mov audio, it just says that the file type is not recognized.
I can open .MTS files in PS but no audio track appears in the timeline. How canI edit audio?