There are various media options that you can play like soundcloud and youtube, but i restrict myself to music related stuff in this topic
The previous descriptions have been removed as they no longer are valid with the new board software.
In generic, just try pasting the URL first (youtube, link to your mp3 file) and see if your url is automatically translated to an embedded media player, otherwise post your URL between [media][/media] tags.
The most important advise here is do not use HTTPS in any case as this will not work with embedding!
Some external media players may not be supported at all.