Looking for a simple (as in: using only additional components that are in my stock) way to play audio, I found not what I wanted. Trying to gather info here.
There's this project that does PDM: https://github.com/karawin/Ka-Radio32. It tells to connect a speaker to GPIO 25 for PDM/internal DAC, but I think that would way exceed the 12 mA of max output current.
I found a 40xx/74xx logic buffer circuit for PDM sound somewhere (lost the link...), and a mention that a MOSFET would be a good idea. Somewhere else I found adding a 100 uF / 47 uF capacitor between output and speaker should do the trick.
I'm using this library on an ongoing project : https://github.com/earlephilhower/ESP8266Audio
The library is easy to use and quite versatile, although there are some "bugs".
If using an esp32 is not mandatory, then there is Teensy from JPRC, and their powerfull audio lib.