XWE recognises several music formats (Doom MUS, standard MIDI and a few other MIDI files, Impulse Tracker, Scream Tracker, Apogee IMF Music files), but doesn't really do anything with them (other than dumping the doom MUS format onto the screen). These lumps can be exported the usual way though, there's no problem there.
Sound files are different. XWE recognises quite a few formats here as well (Doom sound format, WAV, VOC, RAW and a few other types for various games). Normally when you export a sound, you'd want in WAV format, so that you can play it back or import it into your own WAD. OGG files are considered sounds, just like WAV or MP3 files, and here's the problem. XWE shows them as a sound, but it can't actually decode MP3 or OGG. So when you try to save it, it will save an empty WAV file.
An easy fix is to open up your XWE.INI file, locate this entry:
Entry : <blah blah>
Editor : WaveEditor
ExportMethod : WAV
Icon : wave
and just comment out (or delete) the ExportMethod line. (Put a semicolon in front of it to comment it out.) Problem solved: you can extract hi-quality music.
I've already changed one other thing, which is if you click Entry|View raw data, then the save as function will export the file as is, and it won't try to save it as a WAV. (I don't know if this is in V1.14, give it a try...) This was necessary because there's a similar issue with images as well. Images are saved as BMP files when exported, except sometimes we don't want this. (E.g. some files have PNG files embedded, and while XWE can read/display these, you might want the original file, and not the picture saved as a BMP.)
I will also add one more thing; when XWE encounters a sound which it cannot decode (OGG, MP3), the save-as-WAV thing will be disabled automatically for that lump. I think that covers it all.
I know that WinTex can playback MUS files, it does this by running the MUS2MID converter and playing the resulting MIDI file. This has been requested before, but it's not a high priority issue.