I'm using iMusic from Cardinal Info Technologies. Really nice player, and easy to use. It has a nice equalizer that I use on my old Toshiba, but I don't need it on the Axim.
iMusic can play not only MP1, MP2 and MP3 file format but various file format like ogg, wma, wav etc. Also, support CBR(Constant Bitrate) and VBR(Variable Bitrate) and display filename or ID3v1 Tag information when music file play.
http://imusic.citsoft.net/eng/main.asp