The del.icio.us folks have a nifty javascript piece of code which adds a small button to all the mp3 links on your webpage. (This infact embeds a small shockwave/flash script for each link). All you need to do is include the following code in the head section of your webpage:


<script type="text/javascript" src="http://del.icio.us/js/playtagger"></script>


Here is a link to their webpage (Notice the small play button just before the link to audio file.

Here are some popular audio links contributed by del.icio.us users.

Update: And then there is Yahoo! Media player with nicer look and more features. You just need to add
<script type="text/javascript" src="http://mediaplayer.yahoo.com/js"></script>

at the end of the html (just before closing </body>)