I ended up using VLC on win and linux. The interface is a bit awkward, but it just works. Import all your media in the half-baked "media library" and you will be able to search/filter it. My music library is properly organized with Artist - Album
/Track - Title
format so that helps a lot (I use the file manager to find music).
Banshee was good but latest version is linux only. Audacious also works. Musique is also interesting if you like minimalism.