Things change rapidly in the WordPress world. The content in this post is more than a year old and may no longer represent best practices.
1 Audio Players
1.1 Audio Player
Plays MP3 audio files, without the extra podcast bells & whistles.
1.2 Audio Link Player
Automatically converts all MP3 links to players
2 Internet Radio
Lets visitors listen when the show is live and subscribe when it isn’t
Sophisticated plugin for audio and video podcasts. Handles iTunes feed.
The original podcasting plugin. Development went into hiatus, but it’s being revived now.
4 Smart YouTube
Inserts YouTube videos and playlists in posts, comments, and RSS feed
5 Stream Video Player
iPhone-friendly video/audio player
6 WordPress Video Plugin
Embed video from an enormous list of sources
7 Viper’s Video Quicktags
Easily embed video from the most popular services
8.1 VideoPress service
High-quality video hosting service designed for WordPress.com users. $60/year.
8.2 VideoPress Plugin
Lets you embed VideoPress into your self-hosted WP site
Lets you embed live streaming video from Ustream.tv
Adds Video, Audio, Photos and Slideshows to Your Website (software download and free Cincopa account required)