Just about all locomotives that are DCC ready do not have speakers installed, so even if there is an 8 pin plug, you will have to find a place to install a speaker. Atlas GP40-2 diesels have a nice 28mm speaker enclosure built-in. You just attach 1 or 2 speakers and solder the brown wires.
Also, many steam locomotives have an 8 pin plug in the tender for a module and room for a speaker, and are the easiest to work with. Bachmann Spectrum, MTH and BLI are some of the top names.
Another option is to send any locomotive to Yankee Dabbler or Traintek and they will install the module and speaker for you for a fee.