XNA 3.0 comes with better media support (MP3, WAV, WMA)

Another cool thing with XNA 3.0 is the ability to use MP3 and WMA files directly. This gives better compression for your music than the average of 27% before. These files can also be added directly to your content folder and used from the ContentManager as you would with any other content.

Kyle Schouviller has made an example of how to use this, check it out here.