Adding an audio widget to your theme is generally super simple and painless. And most have documentation to help you if you're having trouble. We heartily recommend these ones:
- SCM Player is a small, unobtrusive audio bar with various color options and support for custom skins.
- Hypster is a Flash-based audio player that includes support for playlists, album art, and various player styles.
- WikPlayer is another audio bar with color support with different player styles and colors.
- Billy gives you a quick interface to use to host your own audio files. And it looks great!