The most common multimedia files embedded on Web pages are sounds and videos. You can create sounds with a microphone and digitizing software (like SoundRecorder for Windows and Amadeus for Macintosh). And there are many programs that create MP3s from CDs.
With the advent of digital camcorders, getting video on the Web has gotten easier and easier. On the Mac you have the unbeatable iMovie (preinstalled free on new Macs) which lets you input digital video via the incorporated FireWire port, add special effects and transitions, and then automatically convert it to QuickTime format which is easily embedded on a Web page (see page 286). Folks with Windows XP can use Windows Movie Maker. One good resource for information is Secrets of Podcasting, Second Edition, by Bart G. Farkas.
You can also find sounds and movies on the Web, although you should read the corresponding license agreements carefully. I'll show you how to embed videos from Google Video and YouTube on page 306.
But don't limit yourself to sounds and video. You can also embed Flash animations (with Macromedia Flash), PDF files (created with Adobe Acrobat), playable sheet music (with Sibelius Scorch), Java applets (with Sun's Java), and much more.