From the beginning of film history, there were attempts to incorporate sound and color into film. The early attempts are very primitive by today's standards, but very interesting.
Edison's first attempt at incorporating sound and film involved the use of the kinetophone, in which film was watched a film through the peepholes of a kinetoscope. The cabinet of the kinetoscope contained a phonograph, and the viewer/listener heard the sound through a pair of ear tubes.
Information about kinetoscopes and kinetophones can be found here.
Here is the earliest Edison sound film, from 1894.
I don't know anything about this film, but it's very cool.
Sound films really came of age through the development of "sound on film" where the sound was optically recorded on the side of a film strip. The helped solve the problem of synchronization, which was poor in earlier sound films. Several researchers developed a "sound on film' process but it was the one developed by Lee De Forest that became commercially successful.
Although the first full length film to use De Forest's process was "The Jazz Singer" from 1927, it was used in several shorts, starting in 1923.
Here's a great one, featuring Noble Sissle and Eubie Blake.
Here's a preview of a future post on color in early hand painted film, from 1895.
The Wikipedia article on the history of sound in film is really good.