windows: winamp 3.0 comes with ogg support already;
pre-3.0 will require an ogg plugin (which winamp's
site pulled, probably because they want people using
the new & inferior version. The codec is still
available at other sites).
There is also a Directshow version of the codec which
works with M$ Windows
Media Player.
For linux XMMS support ogg and there must be other players.