MobileTechWorld has uncovered a pretty neat feature. We now know we can achieve music and video playback via SkyDrive, but we can also receive files via Messenger in Windows Phone "Mango". Specifically demoed in the above video is the receiving and playing of a music (wma/mp3) and video (wmv/mp4) file.
Unfortunately, as one can see there is no album art displayed and media files saved with this method don't appear in Music and Videos hub, so you'll have to return to the conversation to open up the file once again. This is pretty sweet for deeper integration into IM with users not having to resort to booting up a PC to receive files from a friend (but then again, who doesn't use email these days?)