Perhaps others can provide a few pointers, but my research is turning up very little empirical data on effective pedagogical uses of audio. I am currently exploring pre-web research related to teaching/learning using audio (e.g. audio cassettes, radio, etc.).
Another avenue I am searching is the impact of audio on cognition and how/if it supports knowledge transfer. I will post an update on what I find shortly. Feel free to suggest useful information sources or alternative ways of researching pedagogical uses of audio.