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QFT. Everything else sucks. Especially Windows Media Player; I mean it can't even play AAC (unless you download CCCP or something equivalent), which has been out since, what, 2001? Pure trash.
I like to listen to their selection based on songs I like. It may not be a program player or anything, but it's a site that delivers my music just fine. Not trying to advertise or anything, but ever since I discovered Pandora, I've abandoned any kind of music player program I have. o_o;
Spotify. It's like iTunes, only you can listen to whole songs without paying for them. You don't download (so you can't put them on your iPod), just create playlists and stuff. I still have iTunes for all the songs I can't find on there though, like my anime/game OSTs
I'm using Windows Media Player 12 (because of 7). AND it will even play AAC files. BUT this is because of the way I have the K-Lite Codec pack configured. I used to use WinAmp and iTunes, but I feel that those programs are a bit clunky. Unless you're an advanced user, WinAmp won't do you much good, and iTunes uses up more resources than it needs to.