Winamp, Jet Audio, WMP, VLC, Quicktime, Zune. Thats what i mostly use.
Sometimes i use others just to switch it up.... Quintessential Player, Rhapsody, Itunes, Media Monkey, Foobar 2k, Lexicon Omega Home Studio,
Or i play music on GrooveShark, Last.FM , Yahoo Music
Winamp is probably my favourite though, and i use it most. I listen to internet radio stations alot with it.