This trick is pretty simple and effective. It appends a hidden embed tag to the link which play the sound once only. These examples come with click and hover events.
JS - jQuery
$(function(){
$('a.click').click(function(){
$('embed').remove();
$('body').append('<embed src="click.wav" autostart="true" hidden="true" loop="false">');
});
$('a.hover').mouseover(function(){
$('embed').remove();
$('body').append('<embed src="hover.wav" autostart="true" hidden="true" loop="false">');
});
});
HTML/XHTML
<p><a href="#" class="click">Click here for sound effect</a></p> <p><a href="#" class="hover">Hover here for sound effect</a></p>

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