Coming to a web site, that instantly starts screaming and playing 5 different sounds (that exists, just go to myspace ) can be very annoying. But going to CNN and watch the latest news blast from the story that really interests you, is pretty useful. On tradebit we use wimpy and the windows media player, but there are free alternatives you might want to check out:
1. the free emff flash player: Read installation and download instructions at rickdogs blog
2. embedding the MP3 directly in your HTML page: this is the most compatible way for everybody... read here, how that works (very nice document)!
Always keep in mind, that some people got their speakers tuned up and listening to music while surfing your site. If you blast out the music at full volume, you could create an angry reaction or scare the user away... so use it with care!