I have successfully developed a program that plays mp3, wav, and midi files through an AutoCAD interface. The program is called CadAMP and can be found elsewhere on this forum. It has not been updated for the newer versions of AutoCAD so it may come with some issues.
In A2k and A2k2, it will successfully play multiple files in succession, in A2k4 it will only work for single files (unless someone has updated it)
Playlists were attempted, but since there were so many different formats for them, I abandoned it. As you might know, there is no market for a player such as this, which is why I have not embellished it further.
Incidently, since it uses API calls and VBA calls independent of AutoCAD it should also be able to be played in Microstation with a limited amount of tweaking.