To say something out loud is to actually speak it, so that other people can hear you. A truly funny movie is one that makes you laugh out loud. LOL.
It's one thing to talk to yourself inside the privacy of your own head — it's another thing to have conversations with yourself out loud while you're walking through the grocery store. Before they learn to read, most kids love hearing books read out loud, and actors sometimes practice lines out loud before an audition. Any words you speak or noises you make out loud are audible to others.