I have seen many people using video players to play songs regularly. I really don’t understand it. It is ridiculous because music players are specifically made for listening songs and so they have special features related to audio and songs which you can’t get in any video player. For example sorting your music library. Helping you search songs faster not only by name but also by other tags like genre, artist, album, date etc. Then there is building the music profile through last.fm. Last.fm is really cool site you just need to make your account and then start listening songs by music player remaining it will do. It will create a complete database of your listened songs based on different songs. You can compare your taste of music with your friends. You can see their preference of artist/songs.
There are a lot of free music player to choose from so if you don’t like one try some other avoid using video players.
Audio players preference is more of person taste because basic criteria is fulfilled by almost all major ones e.g. speed, filetype support, rating songs, smart playlist, editing tags, searching based on tags, display based on tags, hotkeys, mini player mode.
Then there is some special benefit with specific players like genius(itunes), podcasts, light weight, simplicity of use, EQ.
Some best audio players which I prefer:

Itunes: My best audio player. It has everything I need.

Amarok: Second best. On linux I used only amarok. It is light weight(generally true for all linux products), has lot of features.

It has a lot of very good gui themes. Third best.

Light weight and quick. Low memory usage, Lesser interface options and features. Best EQ best sound quality.

Windows Media Player
There are many funny skins, default is best option and this time it is really good. This is not so common with Microsoft products, they try hard to make not so pretty/useful user interface.

B.S. Player
Lightweight, Good sound quality, lesser option. Also a good video player with lot of file support.