Cute? Cute did you say? Ya I think they're pretty cute under-water too.
In the Basic Info section of this site, under the Other Basic Info heading it says this about their hearing...
"RES can hear although they lack any ear opening. Their tympanic membranes are covered in skin and allow them to sense low frequency sounds and vibrations."
I think most reptiles and amphibians are built like that, except for snakes who lack any kind of outer ear structure (including tympanic membranes). They are able to sense vibrations through their bellies from the ground. I've also read that they do actually have an inner ear that can pick up air born sounds through their lungs. Pretty amazing!
BTW, I'm glad you reposted that link. I can finally see the video now! For some reason I was never able to get the video to work for me before. Sheba is awesome!

I love the way you can hear her clacking down the hallway.
