Yes, but it depends on several factors.
If you are trying to embed the videos or audio materials in the emailed newsletters, they will not play inside the message the contacts receive in their email boxes. The email providers do not allow that as a measure of security.
So, the best way to go about it is to create links to the audio/video materials. You can upload the audio materials in the Console as documents (up to 25Mb per file) and create a link to them in the newsletter editor.
Still, most of the times the audio/video materials will exceed that limit, so you need to upload and store them on external website. For example, audio materials can be recorded and stored on AudioAcrobat, while videos can be uploaded on YouTube or Vimeo. You would use the links to the audios and videos stored there inside the newsletter editor. When the contacts receive the newsletters and click on the links, they will be taken to AudioAcrobat, YouTube, Vimeo, etc, to listen to/watch the respective materials.