As a rough estimate, the cost is $10k-20k, plus your labor cost.
In the US, all products containing electronics that oscillate above 9 kHz must be certified. The law that governs this is FCC Part 15. The lawyers call this "Title 47 CFR Part 15," meaning that it is the 15th subsection of the 47th section of the Code of Federal Regulations. In Europe, there is a similar regulation called CISPR 22. The requirements are almost the same, but slightly stricter about emissions at certain frequencies.
You can read 47 CFR 15 online. It's not as incomprehensible as you might expect. It seems overwhelming, but if you read the first few PDF's, you'll realize that most of it irrelevant for any single product.
Within 47 CFR 15, there are two classes of testing: Class A and Class B. Class A is an easier test to pass, intended for devices that are used in industrial settings. Class B is stricter, intended for devices that are targeted at consumers.
There is additional testing for "intentional radiators," meaning radios, Wi-fi, Bluetooth and such. There may be an exception if your device is intended for use as a component in a larger system (like a microprocessor or memory card in a PC), but I'm not sure of the legal details there.
The major expense is renting the test chamber. This is what's called an "anechoic chamber," instrumented with a pile of sensors for detecting electromagnetic radiation. To my knowledge, these cost around $1000/hour, and each testing session takes 2 or 3 hours. It's unlikely, but not impossible, that you will pass on the first try.
Here's a decent picture of a test chamber. The one I've been in was actually much larger, like a squash court. I think it was an Intertek facility in Menlo Park, CA.
Unless you're experienced with emissions testing, it is worth hiring an expert, which costs around $500/hour. They can tell you things like, "Put a ferrite bead on that power cable, and that will reduce the emissions at this frequency." The folks I've worked with arrive with a bunch of ferrite beads and inductors (and maybe caps?) of various sizes that you can use in the chamber to hack your device into compliance.
(Perhaps it goes without saying, but I'm an engineer, not a lawyer. I have taken a few products through Part 15, but not in the last couple of years.)
If you're thinking about doing this, start by reading EMC for Product Designers by Tim Williams. I'd avoid the books by Mark I. Montrose; I found them less helpful and more expensive.
Since a passive speaker doesn't emit EMI by itself, I can't see how the FCC would care. FCC rules would cover the entire system, from amp to cables to speaker, if sold as a whole system. Since it would be unintentional radiator, certification is not mandatory, but you'd better be within the limits if they decide to look (quite unlikely) due to some incident or complaint.
There are probably a number of standards UL could certify a speaker to, like flammability and the like. However none of that is legally required. Some resellers won't carry products without UL or similar certification to particular standards, depending on what the product is.
Best Answer
I believe that you aren't required to certify hobby electronics, but you still may get a knock at the door if your product is interfering with someone's commercial gear next door.
Certification is required for commercial products.
Certification is also required for anything that plugs into the telephone network.
IANAL (I am not a lawyer), by the way.
There are some other caveats to keep in mind; if you build something powerful that ends up burning down your house or maiming someone, and your insurance provider finds out that it's not 'approved', your chances of getting coverage are likely slim.
If you're tinkering with 5V / 12V stuff at low power, not emitting tons of RF and not polluting the mains, you're probably OK.