I love the skins on WinAmp, then mostskins have colors that go along with it too... can't beat that flexibility to integrate it into your own desktop!
I use Winamp at home, and Windows Media Player at work. My computer at home is quite slow, so Media Player bogs it down when I have a lot of other applications open at the same time. I can use a less memory-taxing version of Winamp, so I prefer it over Media Player.
I use most of them. Mostly i used winamp, windows media player. Real player. Real player and media player i found them best as they can run miltiple files by adding plugs in to them.