I mailed CDs around, and called out track numbers. I wasn't computer-savvy enough to burn mp3s instead of AIFFs, so I could have had a much larger selection, too.
Of course, now that I have web space, it's also trivially easy to upload tracks and tell my players the URLs, too. When I was a player myself, I had a wizard who played Arabian wind instruments, though not very well. I'd call out something like
http://earl.of.sandwich.net/Characte...oire/Gypsy.mid when he played one.