I have always wanted a dedicated button to control Winamp. So I made one using an ATmega32U4 and the USB LUFA library:
I have programmed Winamp to advance on Ctrl-Alt-B, and rewind on Ctrl-Alt-Z using the built-in global hotkey function. The chip emulates an HID keyboard and generates a Ctrl-Alt-B (next song) on short press, and Ctrl-Alt-Z (previous song) on long press.
Source code and the compiled binary are at the bottom of this page. If you use an Arduino Pro Micro, just download the hex file to the Arduino, connect a NO button on Digital8 and 9 (PB4 and PB5 on ATmega32U4) and it will work out of the box.
LUFA USB and Arduino
If you are interested in programming the ATmega32U4 without the Arduino layer, here's how you setup LUFA on the Arduino Pro Micro.
Update: I added a second button to get rid of the long-press.