Netscape on Linux: midi's worked with the unix midi plugin, however some of the controls were unavailable when using the object, and embed tags. Due to the lack of a plug-in, wav files would not play.
Opera on Linux: nothing at all (opera has yet to integrate sound support on linux).
Internet Explorer: the document that used the object tag had the plug-in launch outside of the browser window. The embed tag worked fine.
Mozilla on Linux: by registering helper applications as play (for wav's) and timidity (for midi's) the onload attibute in body worked, as well as the onLoad attribute. Neither object or embed worked.
Creating an anchor to the file is the safest, and probably least irritating way to put sound files in websites.
Everything but the document with the embed tag validated as Transitional XHTML.