I'm almost ashamed to say this, but I use iTunes to play my music. I made the switch when I got my iPod for my birthday last year. I tried Winamp for managing my music and moving it to the iPod, but it just wasn't as simple as iTunes and I liked the interface of iTunes better. For a short while I actually used iTunes for moving stuff to my iPod and Winamp for listening, but that got to be too much of a chore. Now when I'm listening to something and want it on my iPod, I can just plug it in drag the song to it.
I do remember the very first time I tried out iTunes I played the same song in it, and then in Winamp, and it was noticeably cleaner sounding in Winamp. Not sure if that's still the case, or if I needed to mess with some iTunes settings or whatnot. I'm used to iTunes now though, and I'm not enough of an audiophile (or maybe I'm just too lazy) to tell unless I were to try another player again and compare.
EDIT: Yea, iTunes felt sluggiish and bloated to me before, but since getting my new PC it's not noticeable.