> But the atmosphere is thinner, so this makes it harder to
  > hear? Or quieter?

Sound intensity for a plane wave is given by the equation $I = \xi^2 \omega^2 c \rho$. Here $\xi$ is the particle displacement (the amplitude of our wave), $\omega$ is the angular frequency, and $c \rho$, typically called $Z$, is the characteristic acoustic impedance, where $c$ is the speed of sound and $\rho$ is the density of the medium.

Given that the speed of sound is roughly independent of pressure, and keeping all other variables equal, as $\rho$ decreases, $I$ also decreases. So yes, on Mars, sounds are much quieter.

Sources: http://physics.stackexchange.com/questions/672/what-is-the-r...

http://en.wikipedia.org/wiki/Sound_intensity

I knew my bait would bring someone smarter than me out of the woodwork! Thanks, very informative. Can I ask what's your background that led you to this?

There was a microphone sent to Mars once, but it was on a lander that crashed. http://en.wikipedia.org/wiki/Mars_polar_lander#Scientific_in...

Edit: Correction, twice, one was also sent on Phoenix but due to a design defect it was not used: http://en.wikipedia.org/wiki/Phoenix_(spacecraft)#Mars_Desce...