Jay from the Twin Cities Daily Planet recently filed a request in our project management system requesting info about how to embed an audio file (with a player) hosted by a third party source in a story node on their site to allow visitors to listen to audio tracks while reading related stories. This question and its cousin about how to embed video files hosted by YouTube or Blip.tv has been coming up a lot lately. Here was my response, which I share since it may be of interest to you:

Our install profile contains a contributed module called Embedded Media Field. This module adds video, audio and image CCK fields for the purpose of adding fields to content types that allow you to embed media files hosted by third-party services like YouTube, Blip.tv and Odeo (podcasting host). You can add an embedded audio field to any content type:

1. Enable the Embedded Media Field and Embedded Audio Field modules (Admin>Site Building>Modules)
2. Add a field of type Embedded Audio to the content type of your choosing by going to Administration>Content Management>Content Types>Edit>Manage Fields>Add Field
3. Configure the field for one or more third-party audio hosting services (Admin>Content Management>Embedded Media Field Configuration)
4. Upload the audio to one or more of those sources--if you do not have any existing content there already--and paste the code provided by that service for your audio into the audio field of your node.

This will display a player for the audio file in the node itself. For video embedding, follow the same steps utilizing the embedded video CCK field and embedding code from a video hosting service.  

If you want more info about the module go to http://drupal.org/project/emfield They also have a demonstration site showing media from many sources within a Drupal site. The link to that demo site is on the project page.