One problem I have with most modern software media players and OS sound output is that they don't understand how someone works with music in the background.
For example: Yesterday I had created a manual playlist for myself in Windows Media Player (though, as I said, the problem is no better in iTunes or WinAmp). I was happily listening to music at my desk when I received a voicemail in my inbox. Without thinking I clicked to listen to the voicemail. My music stopped playing, the voicemail played, and then WMP was left with the voicemail as its current playlist. Why not understand that I may have a short term need to turn down the music, listen to a small file, and then return to the regularly scheduled playlist without having to que it up again.
Another example: This is more of an OS rather than media player problem, but there needs to be an option to turn off all sounds from a computer with the exception of the media player. This way I won't do damage my hearing when I'm listening music and an instant message arrives at a volume level 10x higher than the music that is currently playing. I guess I would call this feature "prioritized audio".
My current workaround is simply to cut the PC out of my music listening and just rely on my iPod.