I love Yahoo for this and the YUI Install it on your blog today.
Yahoo Media Player.
Adds audio to your site with one line of HTML Uses simple, easy-to-hack HTML instead of complicated proprietary markup, ushering in the REAL Media Web Magical floating design never gets lost, is available when you need it, gets out of your way when you don't need it Automatically finds all audio links on your page, turning your page into a playlist Plays all your blog entries with a single button click Allows you to put the play buttons where they belong: IN CONTEXT Keeps the user in the page rather than sending them away to a media player Picks up your images and adds them as cover art Requires no download, install or maintenance