I use WinAmp for my music on both my phone and my desktop. I can wirelessly sync music to my phone with it and I generally just really like WinAmp's interface. I love the skin I have for it and the ability to queue playlists from Windows' drop-down list. On my phone it works with Last.fm's app and was a lot better than the default app. On my mac I just use iTunes because I can't be bothered finding something else. Trying to find equivalents to the programs I know and love on Windows is too depressing.
For video media, I use KMPlayer. It plays anything I throw at it, is very pretty, and has a whole lot of playback features. I originally downloaded it just to auto-screencap from my media but once I realized how much it could do, I've always used it. I don't even know what I use on my mac--probably VLC--but I can't stand it and try not to watch anything on it if I can help it.