It does tend to install some stuff you don't really need ... if you are addicted to poking around in system files you can visit http://blogs.zdnet.com/Bott/?p=554 - they've got a guide to 'un-bloat' it.
I use WinAmp
I sometimes use Lime Wire when I just want to listen to that music right away, but when I'm listening to I Set My Friends On Fire, WinAmp all the way
personally i like itunes
mainly because u can use Genius
just select one song and it makes a play list of 25 songs that are similar, it also randomizes it so it isn't all the same group.
Long ago, about 1-2 years ago, I used Winamp. That was semi-failure, and I didn't find it very useful. It wasn't as organized as iTunes. Before that, I just played my songs on my torrent program. That was even more failure.