Probably because you never experienced them.
There are things "you feel the need for" (e.g water in a desert) and things you have to use for a while to say "fuck, how did I do without those?".
(Any player that fully supports Winamp plugins would be an adequate replacement, but I'm also happy with Winamp in general)
It also supports some other Amiga formats, you can find it at http://www.rift.dk/page.php?1
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ChipAmp. http://www.chipamp.org/
[1] http://img16.imageshack.us/img16/901/winampm.png
*edit: added link
P.S. Yes. It has been getting bloated, but people have been complaining about iTunes since day 1.
Also, yes, the bloat and the constant updates to support the bloat.
[EDIT] Others have covered bloat, install issues, and its updater.
It also installs multiple services even if you don't use the devices they are there for.
Apple tends to make crappy software for windows.
Well, one of the 30 million people still using Winamp.