I had an idea before and I thought that it won't be executed without an iframe or Ajax calls.
I couldn't keep an MP3 file or a radio channel working after changing the URL in the website, for example,
website.com/profile
To
website.com/news
The whole page will change of course, and the MP3, or radio have to load again.
But, I realized that SoundCloud has this feature - after playing a music, when exploring the site, the music keeps working, and when you comeback to the music page, it will be like you never left the page.
Also, Facebook uses this in the chat on the right. When you change the pages, most of the time, the chat won't get hurt by the change, meaning that the chat keeps working as if you're on the same page and never changed it.
Iframe and AJAX call is a only way to do it.
Ajax Call is my favorite:
$.ajax({
url: "My URL",
async: true
}).done(function(result) {
$("#mydiv").html(result);
});