hrm, well, I have always skinned coolplayer, and I like it. I use it on my laptop a great deal; it is p90 with 48 megs of ram, and Coolplayer is the prefect low-level choice.
On the other hand, I use Winamp3 on my design machine. I have never been comfortable with Coolplayer's playlist. It has been a while since I downloaded a new version, and they may have cleaned it up, but it is flakey to me on the version I use now.
Also, Winamp has always had a good deal of interface-ability with various shells and skinnables. I use both Talisman and Litestep periodically, and Winamp is rarely ever visible, I use external controls. Others use Windowblinds-based controls, and various other apps, so that would be a big factor in choosing a media player for most people who use skinnables, IMHO.
To me, Coolplayer is great for what it claims to be, a really lean, resource-friendly app. For most people 10-15 megs of ram and a couple of percent of cpu is no big deal, though, so they are going to lean toward more feature-rich, mainstream players.
that's my 2 dong, anyway... (don't you get tired of cents?)