MIDI should work. You can play AIFF, as far as I know. There is one MP3 software player for Classic Macs of which I am aware, (it's an MP3 player in only the most technical sense, in that you give it an MP3 and you get music out of it but what it's really doing is an on-the-fly conversion of an MP3 to an AIFF and playing that) but it needs at least an '030, and even then it's not so great. I think maybe MOD files? Not sure. Maybe WAV? but they would be huge. I would imagine you could do streaming red book CD audio, but if I'm not mistaken, to do it through the Mac, it requires a certain 3rd party extension to run the CD drive.
The line of compacts that the Plus belongs to can only do one channel 8-bit mono sound so anything you want to play should meet that spec.
That's the extent of my knowledge on the subject. I am sure someone else can give you a much more comprehensive answer.