I've installed the Linux version of Limbo from the Humble Bundle V. The "Linux" version runs limbo.exe with a wine from codeweavers. I don't get any audio output on Ubuntu 12.04. It seems that wine tries to talk to Alsa and has no PulseAudio support.
There are several bug reports about this issue
http://askubuntu.com/questions/144915/limbo-game-has-no-sound
https://bugs.launchpad.net/ubuntu/+bug/1008025