The Small Print:
1. It is not possible on the majority of consumer hardware to switch between headphones and the internal speakers when there is a headphone jack physically connected.
2. Volume control is only supported if the hardware device provides a volume control; HDMI, notably, does not
3. Multiple Device Output over wireless devices (AirPlay, Bluetooth) may result in audible artefacts (buzzing, clicking) dependant on your setup.
4. Apple have removed functionality to output to specific AirPlay devices in 10.9+, it’s either none or all of them