I'm still a Winamp (winamp.com (free)) user myself. I've tried many others, but keep coming back to Winamp. It will play just about anything including AAC. WMP won't do AAC streams.
I would like to use "songbird" (getsongbird.com (also free)). It has a really nice media library interface. The only thing that keeps me from using it is does not have an equalizer. I really like the equalizer in Winamp which allows me to adjust the sound to my own speakers and taste.