I usually use Amarok 2 to listen to music on my Linux laptop (it should run on Windows, too, but I haven't tried it). It's not perfect for me personally, but it is a nice app, and integrates well with the rest of the (KDE) software I use. Lots of service integration and UI flexibility are two of my favorite parts of it.
If I just need to play a music/sound file as opposed to "listening to music", I'll generally use VLC or mplayer.