Definitely the HTML5 element is the way to go. There's at least basic support for it in the most recent versions of almost all browsers:
http://caniuse.com/#feat=audio
And it allows to specify what to do when the element is not supported by the browser. For example you could add a link to a file by doing:
<audio controls src="intro.mp3">
<a href="intro.mp3">Introduction to HTML5 (10:12) - MP3 - 3.2MB</a>
</audio>
You can find this examples and more information about the audio element in the following link:
http://hacks.mozilla.org/2012/04/enhanceyourhtml5appwithaudio/
Finally, the good news are that mozilla's April's dev Derby is about this element so that's probably going to provide loads of great examples of how to make the most out of this element:
http://hacks.mozilla.org/2012/04/april-dev-derby-show-us-what-you-can-do-with-html5-audio/