I go in for the iTunes style media systems, of which there are many (Amarok, Songbird, Banshee and my prefered system, Rhythmbox).
If you want one that does not orient itself around a media library, you may like XMMS (which i find ugly) or even plain vlc.
Edit: also Foobnix, a attempt at a linux clone. Or you can apparently happliy run foobar2000 under wine.