[Samsung Galaxy Player 4.0, 5.0] dstarfire:
I couldn't find a guide for the complete process in these forums, so I thought I'd write my own. I used this exact process for a US player, 5.0 (YP-G70). I don't know what's different for the international or 4.0 versions. As Quinman22 mentions international users should use Rumirand's CWM kernel instead of Entropy's.

Also, if you see any errors, or omissions, please, please, please let me know so I can fix them. I'd like this guide to be as accurate, complete, and generally useful as possible.

First of all, download all the necessary files:

(downloads marked with a * need to be extracted into the same folder, with no subfolders)

Heimdall http://www.glassechidna.com.au/products/heimdall/

Zadig libusb drivers http://sourceforge.net/projects/libwdi/files/zadig/zadig_v2.0.1.154.7z/download

Entropy's Clockwork Image http://xdaforums.com/showthread.php?t=1445840 (be sure to decompress/extract the file after you download it)

CyanogenMod 9 http://www.mediafire.com/?1blgg21e3f0pyk4 (do NOT extract/decompress)

(optional) Google Apps (needed for app store, gmail, voice search, etc.) http://goo.im/gapps/gapps-ics-20120429-signed.zip

Kies http://www.samsung.com/us/kies/

OR

GB-Stock-Safe-v5.zip (bunch of flashing tools and files in one handy download) http://hotfile.com/dl/146572150/5fb9a3c/

Prepare your PC

Download and Install Heimdall

(http://www.glassechidna.com.au/products/heimdall/)

Install Samsung's Drivers.

Install Samsung's Drivers (from Kies, or SAMSUNG_USB_Driver_for_Mobile_Phones.msi either from Kies or SAMSUNG_USB_Driver_for_Mobile_Phones_x86.exe from GB-Stock-Safe-v5.zip)

You should reboot your computer after installing, even if it doesn't tell you to. Drivers may not initialize if you don't.

Initialize the drivers for the other two modes:

Power off your device then boot it into download mode by holding the VOL- button while you power it on.

Power off your device then boot it into recovery mode by holding the VOL+ button while you power it on

Install and configure zadig libusb

Reboot your device into Download mode as previously described

Run zadig.exe

Go to Options > List All Devices

Select Samsung USB Composite Device from the dropdown box

Click Install Driver (accept any unsigned driver prompts you get)

Once Zadig says the drivers are installed successfully, close it

Congratulations, your PC is ready.

Prepare your device:

Copy the CM9 and GAPPS files to your device (the complete .zip files)

Flash the Device

Install Entropy's ClockwordMod on your device

1.1 Connect device to your PC (using the same physical usb port you used to configure zadig libusb)

reboot your device into download mode (hold down VOL- & pwr)

from a command line, type "heimdall flash --kernel zImage --verbose" (no qutoes)

Let heimdall do it's thing

Reboot your device after that's finished

Backup your current system

Boot into recovery mode (VOL+ & pwr)

use VOL+ and VOL- keys to highlight 'backup and restore' then press pwr to select it

Choose whichever backup location you prefer (default is external sd card)

(optional) if you want to copy this backup over to your pc now, you can go to 'Mounts and Storage' > 'mount USB Storage' to access the file system from your PC

Select Go Back until you're back at the main recovery menu

Start with a clean slate

In recovery mode use the 'wipe data/factory reset' option (This just wipes user, app, and some system data)

Go to Advanced -> Wipe Dalvik Cache (This where droid stores the compiled files for installed apps. Leaving old data here can cause you serious headaches later on)

Flash CM9

From the main recovery menu, select 'install zip from sdcard' (or '... from internal sdcard' if you saved it to the external sdcard)

ALL DATA will be lost after you select yes (that's why we made a backup earlier)

Let the device do it's thing

Reboot into recovery mode (make sure USB cable is disconnected before you power off the device, CM9 gets stuck in a boot loop if it's powered off while charging)

Select install zip from sdcard

Again, select the appropriate 'choose zip ...' option

select the gapps file you copied over earlier and select yes (note: this does NOT overwrite system settings and data, so don't worry)

Let the device do it's thing

select reboot system from recovery menu

You're done

You've now got CyanogenMod 9 installed on your player, along with the google apps package (email, app store, search, etc.). Now you get to configure the system settings as you like, and reinstall all your apps.

If you want to restore an apps settings, or saved games, that'll be in another thread.

(Edited per Quinman's suggestion)