Multimedia

Hi, I am developing educational web page and I need to include video and sound files but I don´t know which format is the best for each, and wich program should I use to play those files. Currently I am using the <embed> command so as to use the player of the current operating system but I don´t know if this is the best option. The objective of the page is to teach any language, the sound files are for the "listening". Thank you