Windows:
foobar2000
Linux:
Amarok
Thread over.
EDIT: Okay, might as well talk about what I like about each.
foobar2000 is very lightweight, infinitely customizable, has global hotkey support, gapless playback by default, and all kinds of other neat stuff that Winamp normally needs plugins for, etc. Oh, also, foobar is expandable by use of plugins as well.
Amarok: Personally, I find it a little slow and bloated (or at least in GNOME), but I haven't used it much. The main reason why I started to use it is because it's the closest thing I could find in Linux to foobar2000.