With Winamp, it's really all about getting a decent skin for the player.
If you like "classic" mode, here's the skin I used for years:
http://www.winamp.com/skins/details/81567
If you like "modern" mode, here's the one I switched to about 2 years ago:
http://www.winamp.com/skins/details/122902
As for other players... I'd be interested in hearing about what other people are using, too. I've been using Winamp for so long... Mind you, now that I've switched to Mac, it's all about iTunes (runs way better on a Mac than on PC - hated it on PC).