you need to load a special library to do so, but beside that it isnt much different from using images and shapes etc.
check out minim : http://code.compartmental.net/tools/minim/

it can do much more than just playing sounds, but for playing some simple samples, this is a good example :
http://code.compartmental.net/tools/minim/manual-audiosample/

While minim is a great library, it often does a lot more than I need and adds an additional dependence and several libraries.  So I usually just add a java sound trigger.  It doesn't support MP3, but works for triggering basic sound effects.  We should consider adding this to the core code for simple sounds.

1. import javax.sound.sampled.AudioSystem;
2. import javax.sound.sampled.Clip;
3. import javax.sound.sampled.AudioInputStream;
4. AudioClip button1, button2;
5. void setup() {
6.       button1 = new AudioClip("sound1.wav");
   
7.       button2 = new AudioClip("sound2.wav"); 
   
8. }
9. void draw() {
10. //something that would trigger the sound...
11. button1.trigger();
12. }
13. class AudioClip {
14.   Clip clickClip;
15.   public AudioClip(String aspath) {
16.     try {
17.       File mediafile = new File(dataPath(aspath));
18.       AudioInputStream ais = AudioSystem.getAudioInputStream(mediafile);
19.       this.clickClip = AudioSystem.getClip();
20.       this.clickClip.open(ais);
21.     }
22.     catch (Exception e) {
23.     }
24.   }
25.   public void trigger() {
26.     this.clickClip.setFramePosition(0);
27.     this.clickClip.start();
28.   }
29.   public void close() {
30.     this.clickClip.stop();
31.     this.clickClip = null;
32.   }
33. }