Not that it matters, but I thought I'd submit this anyway. Winamp 2.95 running with an xbox hueg playlist and god knows how many plugins loaded: roughly a 7.3 MB working set according to process explorer. Windows Media Player (whichever version comes with XP SP2) freshly loaded with nothing playing: almost twice that, at around 12 MB. Mostly due to that fancy freeform skin, I would assume.
Again, it doesn't even really matter. Each one is responsive and plays media just as well as the other. It is merely a matter of taste. So either way, it's silly to claim that either one is "slow" or "fast". Myself, I like simple interfaces, so Winamp's classic skin layout works just fine for me.