I agree with @TT_Mark, it's very annoying. You could have a look at a HTML5 audio player.

Adding my $0.02, I'd like to say "don't do it" as well. Having autoplay audio is an instant tab killer for me, unless I absolutely have to use the site. Having the option might be nice, like Robskiwarrior said, but don't make it play by default. If, for some reason you absolutely must put autoplay music on the site, make sure that your users can easily see (and kill) the player. I listen to music while browsing, and I find it absolutely infuriating when I open up a couple tabs and have music start playing in one of them, and not be able to easily tell by looking at the pages which one the music's coming from. Making the player hidden and inaccessible, and you've earned my eternal enmity.

The only reason I could see making audio autoplay is if it's something like a podcast episode's page, and you make sure that the user knows the autoplay is coming, and they can still disable it easily. That's about it, however, and I personally would still prefer to start the audio manually.

Unfortunately I had a client (Afghan Restaurant web site) just yesterday who demanded music be installed on his site, and have it auto-playing. There was nothing I could do, except give him my insight on why it is a bad idea, but he didn't care. I searched high and dry yesterday looking for a nice html5 audio player "skinned" plugin (cross browser compatible) without any luck. I ended up using "jplayer" and used the audio he referenced. I will try custom skinning the player later today.

I can only hope this customer will receive many complaints on this audio auto-playing audio feature so I can remove it in the future lol.