If you want to use the built-in audio in and/or out on the Mac, use the Pro Tools Aggregate I/O. However, if you have an audio interface like a 003 or M-Audio FastTrack for example, select that interface in Playback Engine instead.
Taken from page 61 of the Pro Tools 9 Reference Guide:
On Mac systems using Core Audio, you can use Pro Tools with the built-in audio inputs and outputs on your Mac by selecting any of the available built-in inputs and outputs, or by selecting
the Pro Tools Aggregate I/O option for using a combination of built-in inputs and outputs simultaneously (for recording and
monitoring). You can configure the Input and Output options
for Pro Tools Aggregate I/O in the Mac Audio Setup, which can be accessed from the Pro Tools Hardware Setup.
NOTE – If you need simultaneous input (recording) and output (playback and monitoring) with Pro Tools using the built-in audio options on Mac, use the Pro Tools Aggregate I/O option. If you only need to playback audio for editing and mixing, select the appropriate built-in audio output option.