I was certain that WordPress had built in a basic audio player. Am I mistaken. I cant find any evidence of one anywhere, just plugins ?
WordPress does not have a built-in audio player. You will need to use one of the myriad audio-player Plugins available.
You can find a variety of media players online at wordpress.org/extend/plugins. If you're going for something with support for a bunch of file types, I'd go with MediaElement.