A couple years ago now i started this exact quest to find the best media players and found that no one program does everything well. I have, tried, tinkered, modified,put add-on's, skinned, listened to, watched so many media players threw the years now, to me each one has its advantages and disadvantages. Here are some of my findings for some of the different media players i have tried.
Windows Media Player - Great if you want to watch movies and play music but that's about it.
VLC - Greatest video player ever there really is no video format that this this will not play. Prefer to listen to music on other players thou.
Winamp - Even in retirement Winamp is still "whipping the lamas ass!" used Winamp for years and still do on my smart phone. The best part of Winamp has to be milkdrop visualizations and with a add-on milkdrop can be used in Foobar.
J River - Loved the way it organized and played your music and videos, didn't like the auto check and some of the functions.mostly the 60$ price tag.
Foobar 2k - I like foobar, thou it takes some learning curve to use foobar properly, there is really no end to how far you can modify this program to tailor it to your music needs (other than death), but foobar does not play video and i find that it does not do good with lower quality recordings (had the same issue with J River)
Lilith Audio Player - I found this media player on the head fi Forums and red the thread and found that there was great controversy about people saying that it sounded better than other media players, so i gave it a shot to see if i could hear a difference. For my test i took the music files that i have that i found (sounded funny, bad recording file) in foobar and j river and played them in Lilith. I don't know why but the imperfections in the music that i hear in Foobar/J River are not there. I find that Lilith did sound better than the rest of the media players that i tried but
its pretty plain. if you just like to cue up music and keep it simple this is the media player for you.