GSPlayer2 has a screen-off option (and a sleep timer), as well as EQ settings and it'll stream MP3s (and OGG) over a network. Oh, and Shoutcast as well.
I've been using this for a couple of weeks and have to say it's excellent.
http://www.pocketpcfreewares.com/en/index.php?soft=701
And freeware, too :)
Mark.