A simple example of embeding a MIDI file would be :
HTML Code:
<EMBED SRC="sounds/canonind.mid" NAME="slideshowMusic" HIDDEN="true"
       LOOP="true" AUTOSTART="false" VOLUME="100%" MASTERSOUND>
This means, that no visual representation of the sound being played will be shown, it will loop, meaning repeat, and it will play at 100% volume.

A simple example of embedding a Shockwave flash object would be :
HTML Code:
<embed 
  src="quiz.swf" 
  width="500"
  height="500"
  allowscriptaccess="always"
  allowfullscreen="true"
  flashvars="file=playlist.xml&autostart=true"
/>
Which will embed the fill named quiz.swf onto the page

A simple way to embed the Windows Media Player onto your web page would be :
HTML Code:
<OBJECT id="VIDEO" width="320" height="240" 
	style="position:absolute; left:0;top:0;"
	CLASSID="CLSID:6BF52A52-394A-11d3-B153-00C04F79FAA6"
	type="application/x-oleobject">
	
	<PARAM NAME="URL" VALUE="ringin.wav">
	<PARAM NAME="SendPlayStateChangeEvents" VALUE="True">
	<PARAM NAME="AutoStart" VALUE="True">
	<PARAM name="uiMode" value="mini"> <!-- Use none for no toolbar -->
	<PARAM name="PlayCount" value="9999">
</OBJECT>
So, you have a lot of options..