Interesting. This is indeed a funny gap in the language.

"Show" work for any sort of visual thing you might want to present to someone. It's a bitransitive verb: it takes both a direct and indirect object in addition to the subject:

    "Bill showed Marsha her new car."
     ^^^^        ^^^^^^ ^^^^^^^^^^^ 
     Subject     D.Obj  Indirect Obj.

For an auditory thing, our common words seem to subdivide it based on the sound source: "tell" for presenting speech to someone, "play" for presenting something musical:

    "Amy told Fred a story."
    "Bill played Fred a song."

"Play" has grown to encompass recorded audio, so is probably the closest thing to an auditory equivalent to "show".

There is also "audition" which can be used transitively, but I don't think it works bitransitively. You can say "I auditioned a bunch of saxophone recordings.", but you can't audition something to someone.