If you have the plug-in (everybody has it, if you don't, you don't want to see video or animated things online anyway so it's ok that you don't), it's going to look the same to everyone, no matter the browser or OS.
Some plug-ins, such as the common Twitter plug-ins, make it so that a user never really needs to visit the site at all, because they can update their status and receive updates from others straight from the plug-in.
When you include specific HTML codes into your web page, it prompts the user's browser to launch the plug-in associated with the sound file type that you've programmed the page to launch.
There is also a very active community of plug-in developers who provide ways to make your site do exactly what you want it to, including integration with the other services listed here.
For example, if you embed a "midi" file or a "wav" file, the user's browser will attempt to launch the plug-in that is configured on that computer to play that file type.