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I use Winamp, iTunes, and KMPlayer. All good for their respective purposes (internet radio, music downloads, and watching tv/routing video games/movie playback).
I use quite a few media players but for the most part it is Winamp but mainly for TV since I have a television tuner/video capture card which only seems to work with it because the software that came with it refuses to run on Windows Vista at all. I also use VLC in both Windows and Linux since it plays just about any media file I seem to run across. And yet another one is Media Player Classic but I mostly use that for flash video files downloaded from sites such as Youtube for example.