add custom audio

I’ve seen sites like Audioblog and others like it that allow you (for a nominal fee) to record audio messages that can be played on your blog. Now, I have no desire to pain people with my voice dictating every word I type, but from time to time I do mention a song, artist, etc that I would like to share. I’d love to be able to upload a file to me server and have full control over it by just adding a set of play/stop/pause/volume buttons directly in a post. (buttons very similar to those found at Audioblog [although I’ve no doubt that those particular buttons are copyrighted])
My question: Is it easiest just to do this trough an embedded Windows Media or Quicktime insert or is there a simpler way, or maybe just a DIFFERENT way that I don’t know about? Thanks in advance for your help & suggestions.
-Ian