The audio players you use will depend on what formats are offered by the web sites you surf.
Some sites offer the same audio file in two or three formats but most present a single choice.
Limited cross-compatibility does exist between some players and files. For example, the latest versions of Quicktime, RealPlayer and Windows Media Player will play MP3s in addition to their own formats. However, some players only play their own proprietary formats so you'll need a Liquid Audio player to play Liquid Audio files and so on. Since no one owns the MP3 format there are dozens of different MP3 players. The vast majority of players can be downloaded for free or offer free demo versions.