It's an option under "Websites" in "Preferences"; the options are "Never Auto-Play," "Always Auto-Play," and "Stop Media with Sound." The latter is the default. You can set a default for all web sites, and add override settings for specific sites.

(There's actually a wealth of stuff in this preference tab: you can set defaults and per-site overrides for content blockers, page zoom levels, camera and microphone, defaulting to "Reader View" for particularly annoying sites, and so on.)

Safari actually maintains a list of websites where they allow auto-play by default at ~/Library/Safari/SitesAllowedToAutoplay.plist. Most of them are video sites, such as YouTube, Twitch, Netflix, Nicovideo, etc. but they also have some non-video sites that heavily uses video, such as Amazon.

It's a binary plist, but you can view the content using:

    plutil -p ~/Library/Safari/SitesAllowedToAutoplay.plist