I forgot to mention that The Shepherd's Scrapbook (http://spurgeon.wordpress.com/) is where I too first saw this kind of audio feature embedded in the "sidebar". One thing you should realize, that I just discovered, is that the so-called "sidebar" section in the Andreas 04 theme he is using to display the audio is actually a specialized "about" section, where he is placing an [audio] tag in the text. Even though it is in the sidebar position, it is not a widgetized sidebar in the technical sense. This [audio FULL_URL_PATH/FILE.mp3] tag only seems to work on WordPress.com-hosted sites, as I have tried to place it in self-hosted WordPress sites without success. It appears to be a built-in feature of WordPress.com sites.
I'm still searching for the perfect audio widget also. Good providence, and let me know what you find.