Colored text - Differentiate between different types of messages, maybe make text that stands out (i.e. an op warns everyone of an exploit, he can use red and bold and caps to speak that warning in the channel).

Colored nicklist - Differentiate visually easier between different types of users. Some people just see color coding much easier than others see text. It is slightly easier on the brain, too, similar to how hyperlinks are underlined and blue. It's much easier to point them out on the screen than if they were default text and underlined.

Playing sound files - Sounds for certain events that go beyond the default beep. Maybe a connection to a server, a certain type of notice, a DCC Get complete, etc. The support of mp3 is simply because at any rate, it is a highly utilized compressed file format and is much smaller than wav in a given scenario, and scripters who release those fully loaded scripts could include them in a smaller package.

Agents - Audio speech of what someone says. This is a useful feature, somewhat like colors in that sense, to highlight different text. Or maybe a notification of sorts. Maybe this could've been done internally to mIRC, but it was probably easier just to implement the already existing agent feature available in Windows.