Do NOT use your web host to store audio or video files (or even PDF/Zip/Doc etc). Regular web hosts (think Godaddy, Dreamhost, Hostgator, etc – which are terrible web hosts, by the way) are not suited for media hosting, not even if you have a VPS or Dedicated Server.
If you’re a podcaster and host your MP3 files on your own server, then when you release a new episode, your RSS feed could get hundreds (or hopefully thousands) of hits, and that will in turn download thousands of copies of your mp3 file. And that can put a great strain on your web host.
CDN’s like Amazon CloudFront and CloudFlare were created just for this reason.
And if you’re an Online Course Creator and you have Audio, Video and PDF in your courses, and you release a new course, or do a launch, then when a (even reasonably) large number of your members try to access your online course, that means potentially hundreds (or thousands) of requests to your video, audio and pdf. That could cause the same kind of spike in server utilization on your web host. That kind of load increase on your website could cause problems for your members: Website being too slow, errors when trying to log in and navigate through your membership site, videos and audio loading very slowly (or not at all), your website crashing and your members can’t even get to your member’s area, etc.
Podcasters: Use a regular podcast host like Libsyn (what I use and recommend; coupon code subscribeme gets you up to 2 months free) , BluBrry or PodBean.
Online Course Creators using WordPress: Store the files on Amazon S3 and use a plugin like S3MediaVault.com to securely embed your members-only content in your website from a fast and powerful media hosting service like Amazon S3, and then add CloudFront to it to deliver it at blazing-fast speeds.