What exactly are you looking for?
Almost any Instant Messenger will allow you to send a file, whether it be a .wav file or (almost) any other format. They would have to accept the file and play it in any media player.
Note that in order to Receive and Play .wav files inside the messenger program, your contacts would have to have the same messenger extension.
If by by any means you manage to send a .wav file through addons or extensions at this point, chances are your contacts won't even able to hear it.
No other messenger I know of supports sending custom .wav files the way Messenger Plus! has. Certain mobile messenging apps can send voice clips and Skype has a Voice mail service to receive voice and video clips you can set up.
In other words, bugging your friends with an arsenal of custom sounds isn't possible the way it used to be!
Edit: Speaking of the devil!
Skype Video Messaging is now available.