I use iTunes most of the time but occasionally I'll use Windows Media Player
I don't really ever care what I use, as long as it isn't Real-anything. I usually listen to music in my car, as it has the best stereo in it atm for me besides my living room. However, I only watch live DVDs on my living room stereo, as I hate turning the 5.1 off.
"WinampNot Available In the United States
And recently Spotify as well. Awesome new program that lets you stream music instantly from a huge database. It works surprisingly well and even though it's only in Beta stage there's a TON of music to choose from, believe me. Check it out: http://www.spotify.com/en/"