This could lead to a lot of creative things so I decided to post it. It's in the premium section since non premiums don't really have the space to do it.
For an example of what I'm going to describe, try dragging my sig into Winamp (note: It won't work with Windows Media Player, haven't tried it with iTunes)
1) Create an image for your sig, don't make it too large in filesize since your mp3 will contribute to the size. PNG is the best format to use but gifs work too.
2) Choose an mp3 to cut. Use this software to cut the section you want http://mpesch3.de1.cc/mp3dc.html
The program is pretty self explanatory. You may want to lower the bitrate on your MP3 to make it smaller. I personally use Foobar2000 but thats complicated. There are many free transcoders out there.
3) Now to merge the files. Put both files on the Desktop and rename the sig to sig.png and rename the mp3 to sig.mp3 (if the file extensions are hidden by default, there is no need to type out the extension again)
4) Press Start, then press run. Type in cmd. This should open up command prompt
5) Navigate to your desktop. For most Windows users all you need to do is type "cd desktop" without the ""
6) Now type in the following
A new file should be created on your desktop called merged.png. Drag this into winamp to test it out.Code:copy /b sig.png + sig.mp3 merged.png
That's it, you now have a sig that can play music.