I know the 8700 can play wav files, but I think you will need to upgrade to the latest OS 4.2xx to get the function to download from an email and listen. Someone will corrrect me if I am wrong, i just can't remember right now, and I know that question has been asked here a few times.
Search "wav voicemail" under the 8700 section only.
What kind of ringtones/audio can my Blackberry have? - BlackBerryFAQ