Why is your voice so much more pleasant and rich in your head than it is on a recording? That seems to be a question many people have the first time they hear their own voice played back for them. It would be one thing if everyone's voices sounded different, but voices that aren't your own sound the same in person and on tape. It turns out there's a reason for that, and as AsapTHOUGHT explains, it's all in your head. Well, your skull, anyway.
Basically, when you hear any voice (or sound) that's not your own, it arrives through the air. Pressure waves caused by the sound tickle little hairs that are attached to little hammer-like bones in your inner ear, and this makes them twitch and send a signal to your nerves. Thus, a physical signal (sound waves) is turned into an electrochemical signal for your brain to interpret.