I think an alternative to what OP might be getting at is having the ability to embed a streaming flash music player. You know, those kind where you upload songs to a public server and make a playlist, then embed the player.
(I guess playlist.com would even be an option, provided the music is already available there)
The benefit wouldn't be extreme, but I can see how it'd make things slightly easier than following links to other sites.
I don't see how that would be any different than embedding Youtube videos as far as legality is concerned.
Any thoughts?
Edit:
To add on to this, I wonder how feasible it'd be to have the ability to embed a small flash music player in your sig that holds a streaming playlist of your fave tunes that others can click and listen to at any point.
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