EmbedPress
Embed almost anything into WordPress. Supports over 150+ different sources. Includes a nice PDF embedder, too.
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Sonaar Music – MP3 Music Player Pro
An all-in-one music and podcast player with tons of flexibility and power for playlists, protected audios, tons of style options, etc. Perhaps the most robust audio player available for WordPress.
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Presto Player
Full-featured video player for your site, with all the bells and whistles. Great for membership sites as well as marketing videos.