For stations that broadcast in Windows Media format only, you might be stuck with WMP. For MP3 or 'shoutcast' WinAmp is ok. For RealMedia you do NOT have to use "RealOne" the RealSpyware player. Get Real Alternative and you can listen to Realmedia ad/spam free. Either of these locations is a good place to get it:
http://www.free-codecs.com/
http://www.codecsdownload.com/
You can also get Quicktime Alternative from these sites and see Quicktime files without Apple getting control of your computer and spamming you with
their advertising. (Although when I downloaded 1.33 from here it was corrupted and I had to go searching for a mirror! Hope they've fixed it by now...)
BTW, the player installed by Real Alternative and/or Quicktime Alternative is pretty slick. A 'freeware' goody that plays lots and lots of formats if you just have the codecs. It might be able to play WMA files and save you from WMP as well.