To read mp3's in jAudio add jlayer.jar, tritonus_share.jar, and tritonus_mp3.jar to your classpath and restart jAudio. Likewise, to read ogg files, add tritonus_share.jar tritonus_vorbis.jar and jorbis.jar. Full instructions are at: http://www.tritonus.org/plugins.html
Unfortunately, I am still debugging my Java environment and am having trouble getting it to work on my system, so they are not included in jAudio 1.0.4. Others have no problems with this setup.