There is a long Google forum wherein several other users (including those who specifically want to check voicemails in their email) complain they can't listen to .WAV files; instead, they get an error message. I would venture to guess that Android will fix this at some point; but, in the mean time, I want to listen to my voicemails from my HTC Droid email!
At first, I thought about nicely asking our Engineering team to offer mp4 versions as well. However, that would add another to-do to our list of other cool stuff coming down the pike, when this particular problem will likely dissolve someday. So, I looked into several apps that had promise for playing .WAV files, and I didn't find one that worked. What I did find is a third party work-around: PhoneConvert.com offers a free service for converting .WAV files to mp4 files via email. I successfully set up an auto-forwarding process to listen to my voicemail attachments on my droid. Before I tell you how to do it, please take note that this is a third-party service; we are not responsible for their process nor privacy policy. Please read up on the service before you decide if it's right for you.
After you have set this up, your voicemails will be sent as mp4 attachments from PhoneConvert. You can also login to PhoneConvert Settings and change various preferences, including voicemail attachment naming conventions, email subject, and even attachment file format (You can change to mp3 for in-line listening in GMail). Also, check out their donation settings to decrease any delay time in conversion, though I personally found it to be just a few minutes.