Most folks in the PC lobby don't say anything or when they do it's mostly something unflattering and in rare occasion flattering. You press the 'Z' key in the lobby for everyone to hear you or in-game just your teammates or if you just die for 2 seconds the guy that killed you in Death Chat.
Otherwise you can use Steam's Voice Chat or a variety of third-party open-mic applications like Skype of TeamSpeak, etc.
In the lobby simply ask for a 'mic check' and typically someone will respond.
Like Momba said, you can press 'Z' both in the lobby or in-game to use voice chat.
While in-game, you can also use 'T' to message everyone or press 'Y' to message only your team.
If you are just not hearing them at all, then perhaps something is wrong with your speakers/headset. Otherwise also make sure the settings are set properly.