Simple href links: Upload your mp3, flv, mov, mp4, m4v, m4a, m4b, 3gp, wmv, avi or asf file via the WordPress editor's upload browser then "send to editor" - or make a hypertext link to any external file on the web - and you're done!
Rich text editor: Flash swf (including Google Video, YouTube etc., players via the "A" for anarchy button) or Director dcr use the respective rich editor buttons. To embed the various media players supported by AMP enter the full HTTP address (url) to your YouTube, Google Video, iFilm, Revver, Metacafe, MySpace or GoEar web page. For DailyMotion video and Apple iTunes iMixes just copy and paste the code from their embeddable players.

Web devs: The RTE buttons are basically a front end for Kmil Flash Embed and its Javascript handler SWFObject. The Kmil tags in WP, and SWFObject javascript in html, provide a very flexible framework for embedding swf files including multiple fvars.
So anyways ... for all the href linked files such as mp3:
<a href="http://PATH TO AN MP3/audio.mp3">Download Link</a> Ghost Troop - Captain Eric May 666 Red Alert
becomes:
Download Link Ghost Troop - Captain Eric May 666 Red Alert