Winamp works great, uses minimal system resources, organizes everything easily and I believe it has a 6 band EQ at least.
iTunes is free, has a 10 band EQ, simple to use, has nifty album artwork display, and is a must if you ever get an iPod/iPhone.
Real Player works just fine and has radio stations that are cool, if you get bored of your music. It has a 10 band EQ. I think it has ads though and always asks you to get the money version.
I'd recommend Winamp if you don't have an iPod and you just want a music player.
Although window based programs that come with the OS are good, i prefer two kill two birds with one stone, why not have a very good sound player as well as a very good sound editer. and a 20 band EQ.
Yeah, I've got sound forge. But to play music I just use Media Monkey Gold. Good enough, and I prefer it over Winamp. Purely because it's easier to organise all your music files in it. At least, in my opinion.