I personally switched to foobar2000[1] years ago and never looked back. Some of the big reasons back then were gapless playback and proper unicode support (I have quite a bit of Japanese music in my collection), and the fact that it doesn't do anything unnecessary (like try to be a video player at the same time) - it plays (and manages) music, and does it very well. It has served my music player needs ever since - it…
If anyone is interested, see deadbeef for the linux equivalent of foobar2000: http://deadbeef.sourceforge.net/ (But personally, I use MOC: http://moc.daper.net/ )
On Windows, it's Foobar2000 all the way.