In your ringtones or tones folder (whichever folder(s) contains the media you don't want added to the song list), you can put a file called nomedia in it. This will prevent the media scanner from adding the files to your song list. You will probably have to make the file (use a text editor to make, then remove the .txt from the name) using your PC and then drag to your phone via USB cable. Works like a champ.
The file has to be .nomedia with a "." before it. Just create a text file on your pc, put it on the sd card, then rename it with your phones file explorer to have the "." in the beginning and remove ".txt" from the end. This does work, but that's part of the problem. Your phone will no longer be able to find the file to use it when needed. So for ringtones, they won't work. If it's a big problem for you to have these files show up in the media player, I'd also recommend just using a different player that only searches specified folders.