If you want to stream sound on your Mac to your stereo jack speakers by the computer and to your Apple Airport Express with its audio, you can't if your sound stream isn't through iTunes and is, say, via the web (like with Pandora in my case). Not at the same time, regardless of what the web says. The stereo jack output doesn't work that way, apparently. (This does work quite well if your sound source is iTunes, note.)
A lot of sites say you can do this generally, and have detailed explanations about how you make a new device through the Audio Midi Setup app. An article at MacWorld hints at the problem but isn't at all clear: "Let’s say you have an Airplay device plus a USB, ethernet, or Firewire audio interface attached to your Mac..." Right. Note the article doesn't mention the stereo out port (the one that matches your little headphones on your iPhone, Android, or oldschool Walkman), because it won't work.
The best I got was stereo on my Mac and one horribly noisy speaker on the Airport Express (through a receiver). The easy solution, although I haven't actually tried it, is to use one of the other sound outs on the Mac (probably the monitor over Firewire) instead of the speakers, but I like my speakers here. The other, better and more expensive solution, is to go with Sonos -- a friend of mine has some Sonos devices and it is an awesome setup, very easy to use and understand, streams from lots of sources, and the app on the iPhone seems great to me.
Update: You can make an "aggregate" device or a "multi-output" device, and neither works for me at all. When I tried using the Airport and the Firewire monitor speakers, which seemed like it should work via all the online help, it didn't -- the best I got was one of the two speakers on the receiver via the Airport (both of which work fine through iTunes or System Preferences when the Airport is the only sound out device) and the monitor speakers had a large amount of noise (a hiss, to be specific). This is unbelievable. Apple is usually really good about making simple things easy, but not here. Weird given how great NeXT hardware and software were at sound.
Update 2: I FOUND A SOLUTION! Via TidBITS, the little app Airfoil from Rogue Amoeba! It works! And it's only $29.00 as I am typing. Really OSX should just do this, but it doesn't, and $29 for a solution that does a lot more than what I am trying to do currently (that is, it gives me future flexibility) is great.