I found this interesting thread at Search Engine Watch Forums named AdWords "Radio Ad". This member describes how he was able to put up "a regular adwords ad but linked to an mp3 file - so clicking it plays an audio ad." First time I have seen anything of this sort posted in a forum, doesn't mean that it hasn't been posted before. Cute idea.
However, the reason it is a cute idea and that you do not see this ever, is because it doesn't meet the editorial guidelines of AdWords.
AdWordsRep replies saying;
Sorry to rain on the parade - but before considering this folks, please be aware that this is counter to the AdWords Editorial Guidelines, and such ads will be disapproved as soon as they're reviewed...
Your Destination URL must link to a working website. You cannot link to an email address or a file (ex. an image, audio, video, or document file that requires an additional program or application to open or run).
But Cline replies that you "can link to a webpage that runs audio or video on the page."
Forum discussion at Search Engine Watch Forums.