user4912: I bought one of these:

There are 3 pins on it:

5V
GND
OUT

My guess is that OUT is an analogue signal that I can measure with my Arduino, am I right?
I am using the "Analogue Output" example code but I just get 5V all the time, it does not seems to change with the sound levels.
Am I doing something wrong? What am I adjusting with the blue square on the board? Should I maybe do that?

user1233: The wording on this particular eBay item is pretty poor but there are plenty of similar products with better descriptions that are photographically identical... example that make a little bit more sense.
Anyway, I don't think this gives an analog value output, the LM393 is a comparator, so I think the blue dial sets the 'threshold level' and any sounds over that level cause a logic low. i.e. it compares the audio level and the dial and when one exceeds the other it gives a signal.
The features also say "The output effective signal is low level" which is probably Chinglish for the signal is a logic low, i.e. when the sound is heard it goes to 0V rather than 5V which is what I think you were expecting.
In summary: This device is is more like a Clapper, it detects a loud noise and sends a digital low signal.
Try making a loud noise with the same setup you already have, and if not try adjusting the potentiometer by turning it, but not too far! It probably only turns 180-270º.

4912: <p>I bought one of <a href="http://www.ebay.com/itm/171505106187?_trksid=p2059210.m2749.l2649&amp;ssPageName=STRK%3AMEBIDX%3AIT" rel="nofollow noreferrer">these</a>:</p>

<p><img src="https://i.stack.imgur.com/04v2jm.jpg" alt="1Pcs New Sound Detection Sensor Module Voice Sensor for Arduino Best"></p>

<p>There are 3 pins on it:</p>

<ul>
<li>5V</li>
<li>GND</li>
<li>OUT</li>
</ul>

<p>My guess is that OUT is an analogue signal that I can measure with my Arduino, am I right?</p>

<p>I am using the "Analogue Output" example code but I just get 5V all the time, it does not seems to change with the sound levels.</p>

<p>Am I doing something wrong? What am I adjusting with the blue square on the board? Should I maybe do that?</p>
 1233: <p>The wording on this particular eBay item is pretty poor but there are plenty of similar products with better descriptions that are photographically identical... <a href="http://www.ebay.co.uk/itm/1x-Sound-Sensor-Detection-Module-LM393-Electret-Microphone-for-Arduino-/231034416834" rel="nofollow">example</a> that make a little bit more sense.</p>

<p>Anyway, I don't think this gives an analog value output, the LM393 is a comparator, so I think the blue dial sets the 'threshold level' and any sounds over that level cause a logic low. i.e. it compares the audio level and the dial and when one exceeds the other it gives a signal.</p>

<p>The features also say "The output effective signal is low level" which is probably Chinglish for the signal is a logic low, i.e. when the sound is heard it goes to 0V rather than 5V which is what I think you were expecting.</p>

<p>In summary: This device is is more like a Clapper, it detects a loud noise and sends a digital low signal.</p>

<p>Try making a loud noise with the same setup you already have, and if not try adjusting the potentiometer by turning it, but not too far! It probably only turns 180-270º.</p>
