I personally use xmPlay, but I've never had that problem with any MP3 player, really.
I'm not sure how to change this, but make sure the sampling rate is set at a minimal of 44100.
Also make sure you have any EQs (equalizers) turned off, maybe you've cut the higher frequencies, which can cause a fuzzy/watery effect.
Argh, WMA is horrible. I hope you can get back to using MP3's soon, it ain't OGG but it sure is better than WMA
Get winamp2. its anything but the bloatware 3 and the others are. you do not get super pretty kawaii skins, but you get a stable program that can play pretty much any format, including the music in ZSNES savestates, as long you get the correct .dll's.
For video, i reccomend VLC, because there has been no video, ever, that i've had to get codecs to play it on VLC.
That's right. I don't download individual codecs. never will either, because I don't want to, nor need to either.