Personally, I use Songbird. I also use Zune for burning CDs and making playlists. What do you use?

I use winamp and drag and drop technique, because I don't have an Mp3 player.

Winamp is free, and it has a nice skin to go with it.
MMD3

I usually use Winamp for music (Windows Media Player if I feel a sudden urge to share what I'm listening to on MSN ). I choose Winamp over WMP due to the fairly better equalizer and the better compitability. For videos I use VLC, because it takes most formats.