If you want the Arduino to play the sound you need some form of audio playback device. There are various MP3 player shields for the Arduino, and you can also get Arduinos such as the LilyPadMP3 which have integral MP3 players (not compatible with standard Arduino shields, though).
If you use a servo, you don't need an extra hardware since it contains its own driver circuit. If you use a DC motor instead, you will need to use have a driver circuit (such as a motor driver shield) compatible with the motor. If you're planning to use multiple shields, check that they don't conflict with each other before you commit to buying them.