Edit in JSFiddle

<audio id="audio" controls src="http://c0026106.cdn1.cloudfiles.rackspacecloud.com/452c50e621a142509128fbf67fce4c8c_frog-001.mp3">Tu navegador no soporta el elemento audio.
</audio>

var srcs = ['http://c0026106.cdn1.cloudfiles.rackspacecloud.com/452c50e621a142509128fbf67fce4c8c_frog-001.mp3','http://c0026106.cdn1.cloudfiles.rackspacecloud.com/2fbc94686ceb434a864c0691906bd144_dog.mp3','http://c0026106.cdn1.cloudfiles.rackspacecloud.com/5d8ba373d9c448c2be23540fd2cd6201_bengal-tiger-001.mp3','http://c0026106.cdn1.cloudfiles.rackspacecloud.com/dcdafbcae2a64b3aa0ea59526aa75f02_wolf-001.mp3'],
i = 1;

audio.onended = function(){
    if(i < srcs.length){
        this.src = srcs[i++];
        this.play();
        return;
    }
    this.src = srcs[0];
    i = 1;
};