There are many of them.
Some feature rich, some extremely minimalist.
The major ones are Windows Media Player (WMP) and iTunes.
Both offer good functionality and a good GUI.
If you are new to computer based audio, they are a good starting point.
One might also argue that their functionality is limited.
The average user is often struggling using these applications.
Apple and Microsoft like to keep it simple as more functionality introduces more complexity than some can handle.
I tried a couple of media players.
Important for me:
Cover art, the easiest way for me to recognize an album is by the cover rather than by title
Gapless playback. Nothing as irritating as a gap in a live concert or between two movements played as one.