XFCE v4.6.2: My keyboard has keys for mute/volume-up/volume-down, but they do not respond as-shipped. They do under KDE and gnome. So I wrote some shell scripts to add this functionality. Please download and check out the scripts and consider adding them to XFCE. Run: wget http://user.cavenet.com/rolandl/PulseAudioScripts.tgz and untar the tarball. Test them from the shell first. Then configure them via Settings==>Keyboard==>AppShortCuts. Then hover your mouse over the speaker icon and try the keys.
These keyboard shortcuts were added with commit 117ff721b989bcf8cd8e0fbeaa692c14c1ecf5ef, so it should work out of the box now.