I've seen some very cheap radios (one FM receiver from the dollar store, which I've only seen sold there once or I would have bought more) come without a speaker. The amplifier is still there, you just have to use a set of headphones and plug them into the radio to hear anything. The lack of speaker is just a way to save money.

Crystals radios on the other hand can produce sound from a speaker using only the energy in AM radio waves, so they don't need batteries. But the sound is extremely quiet.