Play them with VLC if you're on a desktop (Windows, macOS, Linux). Other players, such as foobar2000 and Winamp, may play them with a codec pack or plugin. They're encoded in Ogg Vorbis, which is the defacto "open source" lossy audio codec.
On an Android device, pretty much any music player, including Google Play Music, should work. On Windows Phone, get VLC. On iOS ... I dunno, I've never owned an iPhone. Conversion is probably the only way unless you're jailbroken.