a gap in the loop often occurs when using an mp3, the player has to reload the codec, if the sound is small, try using a wav.
when embedding files, i have found it depends on the machine config, for example a friends xp box plays fine using windows media player, another friends 98 opens a qt player in the page, it depends what player is set to be default.
to top it off, i have a win95 machine with ie5, none of the windows sounds work including winamp, causing driverless nasty digital sounds, however i can connect to webradio stations and shockwave.com fine, but only in IE, go figure.
as far as IE is concerned, i only use bgsounds (max of 5) and anything else i use flash (the mp3 loop gap is eradicated)
Mozilla also seems to be strongly dependent on machine config.