When I load a prefab, it doesn't load the audio source that is connected to it, so it doesn't play when I want it too.
Also, on a slightly related note, when I use Audio.play() in a script, it plays every single audio source attached to an object/prefab in the scene/assets.
Regarding the first problem - make sure you added an AudioSource component to the prefab that contains AudioClip member with the linked asset (that's what got me...)