Yes, it's a good idea.
If they are you own recordings of your own songs there's no problem with putting the whole thing on the web site either.

If you are selling CDs with the same material on, it's a good idea to do what Judy B suggests and put incomplete snippets on. I do this with material that I've recorded for a label (i.e. not home made) so there's no question of stealing the whole recordings. Also short extracts are more encouraging to download for those of us with low bandwidth links to the internet (i.e. modems, not broadband)

MP3 is the way to go. Streaming takes a bit of setting up and requires your ISP to support it. Don't go near WMA even if Windows tries to make it easy for you. For total freedom from licensing and patent infringement worries, use Ogg Vorbis which is understood by many good audio players now.

Anahata