A helpful list of common internet file formats (including audio formats) is available from here, while a guide to adding audio to your web pages is available here.

Unix
.AU is the file format common to most sun unix workstations.
Download the file into your home directory (call it filename.au) then type copy filename.au /dev/audio to play the file. If you have a fast connection, you can simply specify the saveas filename to be /dev/audio (in place of /Ufs/whatever/username/blah.au), say YES to "Overwrite existing file?", and you will hear the file as it downloads. If you get an error message, it is likely that the machine has no sound capability.
Example .au File: Looney Tunes Theme Tune (150k, 19s, 8kHz u-law mono)

PCs
.AU & .WAV files are handled by the windows media player, and the Audio Plugin supplied with Netscape 4 professional.
Example .wav File: Take Five excerpt (442k, 7s, 32kHz 8bit stereo) or Madonna excerpt (172k, 4s, 44kHz 8bit mono)

.MP3
MPEG-1 layer III. Currently the best data-reduced audio format available.
Web-Sites: MP3 Benchmark, www.layer3.org, www.mp3.com.
Player: WinAMP (also decodes .MP3s to .WAV)
Encoder: Professional, or see here.
Example .mp3 file: Crowded House excerpt ZIPped (165k, 10s, 44kHz 128kbps stereo)
Example Site: MP3 Hot List.
Fix Scrambled mp3s: Uncook fixes mp3s that have been corrupted by being downloaded as text files - you'll know when you have one - it sounds like it's playing underwater!
NEW Site: www.shoutcast.com - set up your OWN mp3 radio station!

.RAM .RM
These are RealAudio file extensions.
Real Audio is a common internet audio and video format, which supports streaming and live webcasts.
Main Web-Site: www.realaudio.com for players and encoders.
Example .ram file: Today's BBC News
Example Site: 95.8 Capital FM
Decoder: ra2wav (see also Total Recorder to stream live real audio into a .WAV file)

.ZIP
A utility called WINZIP compresses files, resulting in a smaller ".ZIP" file. The same utility can take a .ZIP file, and decompress it to give you the original file. Websites sometimes offer .ZIP versions of files, as this decreases the time it takes to download them. I offer ZIPped mp3 files - this doesn't save many bytes (mp3 files are already compressed), but is necesary as the university web server will not distribute mp3 files correctly.
Web-Site: www.winzip.com

.VQF
There are Yamaha SoundVQ files. This little known format achieves better results than mp3, but with an increased encoding time.
Example Site: Most of them are japanese!

.AAC
Advanced Audio Coding. Actually MPEG-2 (not to be confused with mp2 files which are MPEG-1 layer II). Not available yet. Read all about it here.

Total Recorder
will capture any sound sent via a PC soundcard, and route it to a .WAV file. This means that you can convert ANY playable audio file to .WAV format using this utility. It will also capture live Realaudio streams, and the sound tracks from some games.
Web Site: www.HighCriteria.com