But you would need something that interprets the MP4 or MP3 as an executable, or an exploit in whatever decoder software is being used that allows you to hijack execution and run your own code instead of decoding and playing the media?

Or you are talking about an executable that simply plays a media file but is still actually an executable...which is an unsophisticated "attack" that I'm pretty sure was last used 20 years ago for being so obvious?