• Internet Explorer treats embedding code as a potential security risk (or patent violation!), forcing visitors to click several times to initiate playback. (Google "EOLAS" for background.)


• Your page loads all the media at once, rather than when each link is clicked. On slow connections, that can take a lot of time.
  

I'd recommend using plain MP3 links and Play Tagger or Yahoo Media Player instead. See my followup article "Three Free & Easy Web Audio Players" at http://digitalmedia.oreilly.com/2008/08/21/free-easy-web-audio-players.html