It depends heavily what you want. I use Winamp, Foobar2000 and Deliplayer2.
Foobar is simpler than winamp (imho), but i don't really find Winamp harder to use or any slower which some people claim. If you want to make plugins, skip foobar and use Winamp (foobar plugin instructions are total mess compared to winamp). Playlists in winamp are very good and if you emphasize that feature I would go after Winamp.
If you want to play lot of different formats, especially old formats, Deliplayer2 must be the best. For example it plays all kind of old Amiga formats used in games
EDIT: That's for music, I use different programs for video (like VLC Media player).