Is there a setting in Google Chrome that will force it to download media files instead of playing them?

Don't know such setting, but you can Alt + Click on the link, as the Google Chrome Help says.

You can also click on the link as normal and then press Cmd-S once Chrome loads the new URL to save the media file to your computer.

This is useful for e.g., Javascript links and buttons where you don't have the ability to preview the destination URL.

This solution should work in cases when you can't ctrl+click or "Save link as".

1. Download and install the Dionysus extension for Chrome.
2. Go to a page that has links to MP3s on it. You will notice Dionysus will add a little "play" arrow to your browser address field bar.
3. Clicking that arrow will bring up a list of all the MP3s on the page, with the option for you to play them all, in order, or one at a time.
4. To download an MP3 (instead of streaming it), Alt+click its download arrow in the Dionysus window.

What you can do if it's a direct link (so no ads, redirects, etc.) then you can just right click on the link and press 'save link as'. Make sure you check the file format; you don't want a html when you're downloading a video. You can also try disabling flash and other media-playing plugins. If that doesn't work then just let the media file load and the press Ctrl+S and you'll be able to save it.