Set Audio to the Speakers with Headphones plugged in

For some weeks I was unable to use Ubuntu due to Windows 8 preventing its boot, so I noticed an interesting function that I missed in Ubuntu:

In Windows 8 when I plug-in my headphones I was able to open the mixer options and set the speakers to reproduce the audio, even with the headphones plugged and more than that I was able to handle my skype conversations through the headphone while listening to my music, or youtube videos, or games in the speakers.

Although in Ubuntu when I go "Sound Settings..." > "Output" I was unable to redirect the audio to the speakers while the headphone was connected. I have three options: Digital Output (S/PDIF) Built-In Audio; Analog Output Built-In Audio; and Analog Headphone Output Built-In Audio. When I choose Digital I have no audio at all, in any situation. Although it doesn't matter if I choose Analog or Analog Headphone the audio will be headed to the headphone.

Then I noticed that it was a problem: I am not able to use the speakers while my headphones are connected, the main point here is not to separate audio from skype, from the other things, I guess (and hope) that it can be easily set in skype settings once the main problem is fixed: set the speakers as primary reproduction devices even when my headphones are plugged in.