Sounds effects have a dramatic impact on immersion in a game, and
Monogame supports several types of sound files. The tutorial linked here will specifically cover .wav files, but I will provide an explanation of how you can import .mp3 files as well.
If the sound you are playing is short, import the file as a SoundEffect and if it is long, import it as a Song
Songs in Monogame are streamed in from a file and played through a media player, and thus do not use up as much memory.
Here is a program that demonstrates using a Song and the media player in Monogame: https://github.com/AldworthClass/Monogame-Songs
http://rbwhitaker.wikidot.com/playing-sound-effects
http://rbwhitaker.wikidot.com/playing-background-music
Here is a GitHub link to a very basic program that demonstrates the use of a SoundEffect and SoundEffectInstance
https://github.com/AldworthClass/Sounds-in-Monogame
The tutorial above covers how to use sounds in your game, but is lacking explanation on how to use the MGCB tool to import them into the game. Here is a brief tutorial on how to use the MGCB tool: