If you wanted a bit more control you could investigate using Flash (I have found it to be the most practical for this kind of thing).
It will enable you to control streaming or preloading, volume, etc. You can probably find pre-built jukebox systems at
www.flashkit.com if you don't want to build it yourself.
Just for interest, instead of a fully Flash interace, Flash files can also be controlled by javascript so you can have a regular <a> link that will set off an embedded flash movie in the page (will save loading a new page).