It depends on several factors.
If you want to create links to the audio/video materials, then on option is that you can upload the audio materials in the Console as documents (up to 25Mb per file) and create a link to them in the communication editor.
Still, in this case the files would need to be downloaded by your clients and played in players installed locally on their computer devices. Also, most of the times the media files, especially the videos, will exceed that 25Mb limit.
So, a better option widely used today is to upload and store the media files on an external dedicated service. For example, audio materials can be recorded and stored on AudioAcrobat, while videos can be uploaded on specialized platforms like YouTube, Vimeo, Amazon S3.
After that, when it comes to embedding media files directly into a message, most email providers forbid the playing of videos inside emails. So, even if you embed a video or audio file in the messages created in the Console, it will not appear as such in the email that is sent your contacts. You can instead insert a link to the video in the message, using the direct link (URL) to the video, so that the recipient can click on it an be taken outside the email box and watch it on the external website that hosts the video, like on the YouTube website.