Most motherboards have one, except now many are not recognizable as a speaker like they used to be. It's a small, black cylinder about 1cm tall and 1cm in diameter, with a hole in the top. And rather than being a "bolt on" affair it's now built on to the motherboard (no wires).
There are a few exceptions though. If you buy a motherboard for a self-build, a traditional mini-speaker is supplied with some models which you have to wire up yourself.