With the last release of Beamer you can put movies and sounds in your presentation: This new version includes a package for including sounds and movies in a beamer presentation. The package also works stand-alone and can be used with any other latex class (like article or prosper). Other new features are the option to automatically break a frame into several frames, to automatically shrink a frame to fit the available area, to add special zoom areas and some other new stuff.
Hey this package rocks even more. Incidentally, the documentation patch I sent after proof-reading the user's guide has been applied.