Now you can have music played in your fan pages, but can not have it in your profile pages, as facebook has removed the audio feature for profile pages, due to some copyright violations from the members.

The music player application has not good features for you if you have a fan page of yours.
Music Player lets your fans listen to your most recent tracks directly from your Page. Add as many tracks as you want, and update Music Player as you create new music.

Select from the tracks that you want to play and you can anytime play the songs in your page. Its just a single click to add the application. But remember, you can not apply the application to your profile.