i have switched to itunes for my music and I love it. I am quickly becoming a mac man and wanting to get rid of my pc. for video I typically stick with wmp or realplayer. (Which ever form the p*rn comes in )
This topic is probably a little risque around here, but I'll tell you mine... eMule for random things. BitTorrent (Azureus) for larger things - programs, full albums, movies, etc. Kazaa Lite for everything else. (You can still download KLite from Torrent sites) Effective enough; and if you're thinking of venturing into the marvelous world of BitTorrent, I'd certainly recommend using Azureus (requires Java VM) and getting the Nero Ultra Edition because the preferred big-file sharing format is IMG, Bin, Cue...etc. Nero is great burning software and is fully capable of handling almost all image files.
Okay, am I confused? I thought when he/she said "Media Download Programs" that they meant programs with which you download media. As for players, I don't like having more than one of a thing that I think is effectively identical in nature to this one I already have. So I go with the practical, versitile Windows Media 9. It's good enough for any of the stuff I ever use, media-wise, and simple.
I don't download music unless it's really free. The RIAA is out to get ya! Movies are just too big - most of the stuff online is compressed to 700 megabytes and the quality is super low - and if it's not a DVD rip - it is someone using a video cam in a movie theater. I can wait for it to appear on Netflix.
I avoid anything that requires Real Player. One can use a newsgroup reader to download binaries from news groups or use Bit Torrent ( or any of the variants) to share files. Bit Torrent publishes your IP address so it's pretty easy for someone to find out who you are so caveat emptor.
Good ol' FTP, Soulseek, and bit torrent. I like newsgroup binaries a lot, but current ISP has crappy newsservers.