Discourse uses a technique called Onebox to provide embedded audio and video playing. Make a post containing just a link to audio on Soundcloud for example, or video on Vimeo and Discourse will create the player and you can watch and listen in situ without having to go offsite. Youtube is also supported.
We have not really got the disk space to support long term storage of audio files, as volume storage blocks from hosting providers are still very expensive at this time. So let the dedicated services host the files, and link here.