An 8 ohm speaker doesn't behave like an 8 ohm resistor - it's an inductive load so has an even lower impedance at low frequencies.
If the current doesn't kill the Arduino, the back-EMF probably will. If you stick a pulse of current into a speaker, when the pulse ends (as it would with PWM) the speaker will try to keep that current flowing, and it will generate a negative voltage, which is very likely to damage the Arduino output pin and possibly do further damage. Same thing happens if you connect a relay directly to an Arduino.
Plenty of small cheap amplifiers on ebay. That's the only sensible option.
Steve