Disrespective: One of my favourite additions is actually how volume changes aren't followed by an annoying sound. The visual notification is still there but that is fine on its own. I don't need visual and auditory notifications.
There has always been an option in System Preferences > Sound to enable or disable "Play feedback when volume is changed". I started using Mac's when Panther was the OS and it's been there ever since then, and probably long before.