Video tutorial on how to extract locations from shenmue 1:

Material needed for the extractions:
https://mega.nz/#!RFN0GJJT!Zv-v66yr5P7c ... Vhz_BN7pT0

There's an archive with all the speech audio files extracted somewhere on the dojo. Can't be arsed to dig it up though but if you have the patience it's there to be found.

BlueMue would know. He's posted videos that are simply audio dumps of specific characters' speech. I'm pretty sure that if you have the correct tools, you can extract and play individual files.