Since the IntelliJ version 4.0.1, there is the possibility of preview .wav, .mp3, .mod, .xm and .s3m files.

Also the store now provides a SFX and GFX sections where you can preview and download directly into your resources audio, image files and code snippets. Everything without leaving your IntelliJ IDEA instance.

You can now get an explosions effect in just 15 seconds:

Preview of the SFX section and previewing sound files: