I would recommend using QuickTime Pro for compressing audio for your site. You can embed it using the code below.
Code:
<object classid="clsid:02BF25D5-8C17-4B23-BC80-D3488ABDDC6B" width="100" height="16" codebase="http://www.apple.com/qtactivex/qtplugin.cab>
<param name="src" value="PATH TO YOUR .mov FILE HERE">
<embed src="PATH TO YOUR .mov FILE HERE" width="100" height="16" pluginspage="http://www.apple.com/quicktime/download/"></embed>
</object>
This code will do a few things:
1.put audio on your site that will play back reliably in most browsers
2. add controls so that a visitor can stop the playback and/or adjust the volume
Just be wary of a few things:
as stated so eloquently above, some people don't appreciate background music on the web, so use the technology appropriately, and ALWAYS include controls for the viewer to mute, stop, or adjust the volume.
I would recommend using Quicktime over the above suggested Windows Media Player for a few reasons:
1. the Windows Media almost never works on Macs and requires that you have a Windows machine to use the encoder
2. the Quicktime player plays back reliably on Mac and Windows platforms and implimenting the controls is eaiser than with WMP
The drawback is that you have to spring $29.99 to apple for the Quicktime Pro encoder, but it is well worth it if you plan on doing this type of thing in the future.
You could also use Flash, as suggested above, but that would require you are familiar with Actionscript and the sound object. Flash is nice, and I would use it for a 'web jukebox' if, for example, you were creating a site for a musician or group and wanted a neat interface for people to hear many samples of music. I suppose you could search the web for a 'ready made' Flash audio player, but if you're unfamiliar with Flash, setting it up could be a bit frustrating.
For more help on embedding and using audio in web pages, consult the page I set up for my NYU class, Sound Design for the Web:
http://homepages.nyu.edu/~rjc223/SoundDesign