IE9 supports this, but only for file formats it supports. For instance, it works for MP3 files but it will not work for WAV files. Tried http://www.themaninblue.com/experiment/JS-909/ and the following test:
<!DOCTYPE html>
<html>
<head>
</head>
<body>
<audio controls="controls" autobuffer="autobuffer" autoplay="autoplay">
<source src="data:audio/wav;base64,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" />
</audio>
</body>
</html>
data:
URI. Opera limits them to 4K; IE8 limits them to 32K. – Rabblement