Here is a page where we test various ways to embed .ogg files into a web page. If you're interested in a different audio format, try one of the pages on the left.

First off, we can just put in a bare link. So here's the link to the famous Summertime Blues.

<object> Tag Set

Then, we'll play Summertime Blues, but using an unadorned <object> tag.
I commented out the tag. Several browsers will play .ogg files with the <object> tag, but those that do autoplay, and I can't make it stop. This plain object works, but it autoplays, and I couldn't make it not do that.

<embed> Tag Set

Same problem as with <object> tag. The browsers that did play .ogg files called from the <embed> tag, autoplayed.

New HTML5 <audio> Tag Set

Ok, now we'll try the <audio> element.

I had to add the attribute controls="controls" to get it to show up. It plays in non-IE browsers, except for Safari.

Summary

Here's the dope:

Opera
<object>Does not work--no visible control
<embed>Autoplays--no way to turn off--no visible control
<audio>Does work
IE6
<object>Does not work--no visible control
<embed>Does not work--no visible control
<audio>Does not work--no visible control
IE8
<object>Does not work
<embed>Does not work
<audio>Does not work
Chrome
<object>Autoplays--no way to turn off--no visible control
<embed>Autoplays--no way to turn off--no visible control
<audio>Does work
FireFox
<object>Autoplays--but then stops--no visible control
<embed>Does not work--no visible control
<audio>Does work
Safari
<object>Does not work--no visible control
<embed>Does not work--no visible control
<audio>Visible control but does not work

So, if you're determined to offer up .ogg files, don't expect them to work in IE and don't use any method other than the <audio> tag to put them on your site.

What's next?

Do I want to hunt up some .aiff and RealMedia as well?