From http://codex.wordpress.org/Uploading_Files :
WordPress supports uploading the following file types:
.jpg .jpeg .png .gif
.pdf (Portable Document Format; Adobe Acrobat) .doc, .docx (Microsoft
Word Document) .ppt, .pptx, .pps, .ppsx (Microsoft PowerPoint
Presentation) .odt (OpenDocument Text Document) .xls, .xlsx (Microsoft
.mp3 .m4a .ogg .wav
.mp4, .m4v (MPEG-4) .mov (QuickTime) .wmv (Windows Media Video) .avi
.mpg .ogv (Ogg) .3gp (3GPP) .3g2 (3GPP2)
Not all web hosts permit these files to be uploaded. Also, they may not
permit large file uploads. If you are having issues, please check with
your host first.
That bottom note means that you may be limited on the size of file uploads via your or your web host's php.ini file, and file type uploads may also be limited in php.ini or .htaccess, depending on what you have configured or what your web host has configured.