I used to be a die hard Winamp fan. Over time, however, Winamp has become bloated and uses way too many system resources - so much so that it tends to kick my laptop fans on high and that's something I really like to avoid. After some trial and error, I've settled in on XMPlay as my new music player. It's very small, lightweight, and even requires no installation (just copy the files to your hard drive and run it).
Review at ghacks.net
XMPlay support site
XMPlay plugins