The package maintainers of at least the cooking and possibly the stable have erred, a required package is not installed when you install audacious. If after clicking on audacious nothing happens or after receiving the error "Unable to launch selected interface skinned" or something along those lines, the problem is that you must also install audacious-plugins, as counter-intuitive as that may seem. One would think that the audacious developers would include a skin by default in their package!