GSP does support those file types, but exactly what "support" means varies depending on a browser's capability to play them. MP3 files should play fine out of the box because I pre-configured GSP to use a Silverlight player for them. WAV files are trickier - I think they play in IE out of the box but you need a plug-in for other browsers. As for MIDI, I don't have a good sense for how well browsers support them, but my hunch is that you need a plug-in like QuickTime. You can fiddle with the browser templates to specify a particular plug-in for certain file types such as midi - check out the section Rendering media objects in the browser in the Admin Guide.

GSP does not support auto-playing a music file as you browser other media objects.

Note that the soon to be released 2.6 supports automatically converting uploaded files to more web-friendly formats. For example, your WAV files could be converted to MP3, which will be a much smaller file and easier to play in a wider variety of browsers/OSs.