I use windows, and thus I have tried what I consider to be the big four: Winamp, Foobar2000, Windows Media Player, and iTunes.
Winamp’s library functionality is weak in version 2, and version 5 is bloated.
Foobar2000 makes me sad because it is tantalizingly sweet, and yet so difficult to configure correctly that it has, at least until I am fed up with one of the others, scared me off.
Windows Media player, when playing, is actually my favorite of the four. However, again there is not a useful library feature, and no global hot-keys.
iTunes makes me not want to use it because everybody uses it, and more importantly it uses an absurd amount of system resources. (Foobar uses ~2 meg of RAM and negligible CPU time, iTunes uses ~40 meg of RAM, and way more CPU time) Also there are no global hot-keys.
I will probably go back to Foobar soon, but it preferences are so difficult/overly configurable that I find it almost unusable.