Darren Yates from APC has released a tutorial on how to create an Arduino music player. Due to speed and size limitations of the Arduino, audio is generally out of the question, with the exception of buzzers. However, Darren has cunningly managed to get the Arduino to play mono 8-bit Wav files at a 19kHz sampling rate.
It’s not going to be the best quality, but if you are looking to get a bit of audio out of your Arduino, especially simple sounds or voices, it’s worth a look. You can get the files and tutorials from the APC how-to page.