Windows Media Player

Nope. Enjoy.

You might want to take a look at the cics Memory Player. I recently built it with great results. Even if you don't want to go down the route of cMP/cPlay, I would still recommend the PC optimizations that are discussed in detail. The improvements in sound quality is a significant step forward.

If there is a musical advantage in changing, please explain what it is and why.

WMP and lossless files have worked quite nicely for me.

Windows has many responsibilities, one of which is audio but understandably the OS was never built with for audiophile purposes in mind. The cics philosophy is try to minimize and streamline the OS to reduce RFI/EMI noise, latency and jitter which is detrimental to good sound. I would have never believed the impact that some of these parameters make to the overall sound quality. Who would have ever expected that sound improvements can be had with going from dual to single channel memory.

The cics Memory Player consists of two independent programs: cMP and cPlay. cMP replaces the standard XP/Vista/7 shell with a barebones shell to reduce all the administrative overhead that is inherent with XP/Vista/7. cPlay is the minimalistic audio player which sacrifices convenience/features for sound quality. I believe most people who implement the cics solution also use the cPlay player, but you are free to configure cMP to launch your favourite player.

The recipe is well documented on their site with links to forums discussing their experiences and practices. I encourage you to take a look as everything that I have mentioned has been discussed in detail by people a whole lot smarter than myself.