For MP3SPI (which is from the same website but for MP3s instead of OGGs), I include the following text at the end of my license file:
3rd Party Libraries:
MP3SPI is used to play music in this game. It's distributed under the LGPL. The full distribution package (including license) is included in the file lib/mp3spi1.9.4.zip.
MP3SPI is available from http://www.javazoom.net/.
Also, there is something in the LGPL somewhere that says you have to include the whole distribution package so that other people can use it. For this reason, I include the file mp3spi1.9.4.zip, even though I only use the jar files from inside it.
You don't have to have a screen where people have to accept the license.
One weird thing is that you can't "advertise" that people should buy your game because you use the library. One time I used a LGPLed spellchecker in an applet on a website I used to have. I said something like "Now with Jazzy Spellchecker!" on my website to indicate that it contained a spellchecker, and someone sent me a nasty little email.