A sound module converts the information from the keyboard's sensors into an (analog or digital) audio signal. Building a good sound module is very non-trivial; indeed there is an entire industry focused on this one task. A keyboard without this functionality is usually called a MIDI controller, and must rely on an external sound module. While software/hardware hybrids exist, most sound modules are implemented all in hardware, or implemented all in software and run on general purpose PC hardware.
The main Sound Module options for a DIY electronic keyboard are:
Use a stand-alone hardware sound module.
These are usually reasonably compact and very reliable. Some Examples:
- Alesis Nano Piano
- Korg SG-Rack
- Roland P-55
- Kurzweil Micro-Piano
- GeneralMusic RealPiano
Use the built-in sound module on another digital keyboard
If you already have a keyboard you like this sound of, it may accept MIDI input. An especially good option if your second keyboard would be sitting nearby anyway. Pretty much all electronic keyboards intended for professional use have this feature, as do most higher end consumer models.
Can be just as expensive as hardware, but may sound better due to less constrained resources, and is only as reliable as your PC. A good option if you have a computer to spare.
Do your own Sound Design
Obviously the most challenging option. Consider taking some university courses in sound design, as well as digital signal processing.