The biggie (assuming you're using Vista, 7, or 8) is to use WASAPI for bit-perfect output. When I tried Songbird a couple years back, the WASAPI plugin kept crashing it. Today I use foobar2000 when playing directly off my PC. J.River Media Center is very well regarded (I haven't used it), and plays nice with WASAPI. As far as why VLC sounds better - I don't know - apparently it's not bit-perfect. I'd be sure to set the volume on each player to max, and adjust only on your headphone amp, powered speakers, whatever.
Whatever else it is, I'll come out and say you're not nuts. I've definitely noticed SQ differences among players, and have never completely pinned it down myself!
Whatever else it is, I'll come out and say you're not nuts. I've definitely noticed SQ differences among players, and have never completely pinned it down myself!