I'd say don't preload anything, except maybe the 1 or 2 most commonly played sound effects (e.g. player's gun firing, first explosion sound). There'll be a little bit of latency on some sound effects on the first play, but it probably won't be very noticable if there's no latency on the preloaded gun/explosion/etc. Then, on all subsequent plays the game is cached so everything will play instantly anyway (making the preloads redundant).
There was a bug reported that seemed to be the browser choking if too many sounds were preloaded at once, so I really wouldn't try to preload everything.
So preloads are just really for the first play. I guess you could also preload one or two extra sounds on the start of each level as you progress through the game to keep the latency less noticable.