If you just want to play albums straight through like the old days, take a look at 1by1.
http://mpesch3.de1.cc/1by1.html
A very fast, small (the entire installation is about 180KB), very low memory footprint & low cpu load program. Not a lot of frills, but what it was designed to do, it does quite well. One thing it won't do though, is play FLACs.
Now, if you want a few more features and formats, Foobar2000 is an excellent choice.
http://www.foobar2000.org/
Might lighter footprint than other comparable programs with very accurate decoding.
Both programs are freeware.