On Windows, I'm still using Winamp as of today because I haven't found an alternative of equal quality. Not sure why though considering that Winamp is so old, at least enough time to develop a good alternative!
I got lazy. I just drag the files into a Firefox tab because it's already there. Works great if you listen to mix mp3s or are obsessive about picking mp3s.
I've lived by MPD since I first flirted with Unix in the day. It also runs on Windows.
foobar2000
The best music player available as long as you're willing to spend hours customizing its shitty default interface, yes.