Note that the embed tag will not validate; xhtml compliance says to use the object tag instead. However, older browsers do not understand the object tag, and need the embed tag to work. Therefore, I usually use both; note that the object tag is wrapped around the embed tag.
This is an example of an inline (embedded) audio file; in this case, a .wav file. Note that you can give it width and height attributes--this is how you size the controls. Depending on your browser and what audio plugins you have, however, these settings may or may not have an effect.
This is what you get if you put autoplay="true", loop="true", and hidden="yes". Note that there is no way to stop the sound. Annoyed yet? :) Make sure that you always give your visitors a way to stop a sound. Just to make sure the controls will show up, also include the controller="true" tag.
For a Real Audio streaming video link, you code it just like a regular link; all the special stuff takes place on the server side and with the Real Audio plug in.
For examples of streaming video, go to the Real.com site and click on Real movies
Other Examples
LOTR-Fellowship of the Ring Trailer