iTunes is the best music player I've ever used, and that includes the one I cared enough about to write for myself. It's "big", but so is my collection, so I forgive it.
For windows one of the better clients is foobar (I use itunes for the ipod and foobar for listening), for linux well you are kinda sol if you want a good music player (mpd with a gui client or ncmpcpp come somewhat close).
foobar2000 requires a little more finagling than winAMP to set up, but it can be very nice when you do. It's also significantly lighter than winamp. They both do things that iTunes won't (in particular play flac and ogg, which is a very important feature for me).
