I have tried most of the one on offer and it's amazing how many cluttered, over complicated programmes there are (and the amount of time one wastes in trying to make sense of some of them…).
Wimpy is superb, I could not recommend it more highly. It's clean interface with an extremely clear website which allows you to test it out before you buy it and get the look and feel you want. You can stream, shuffle, play from a playlist and integrate it in to your site via a module or link or popup. Probably the best MP3 player around for Joomla and worth every penny!