On my computer, or TV or whatever. Usually if I am using it on a TV, I'll use Winamp with a visualization.
If I am just listening to background music while I work, I built my own media player.
In 2005 everyone used iTunes? I doubt that, far as I know, iTunes never really became popular until the iPhone. And from then till now, still most people only use it because they have to, and would gladly use something else if they could. (With some tragic exceptions of course, after all, all generalizations are false

)
In my old Winter beater, I used cassette tapes cause thats what it had, in my new beater, it has CD's so I use that, for my summer car, it support MP3 CD's, so I primarily use that, plus sattelite radio in each.
I use my cell phone for in province listening to music, but if I leave the province, or the country and am in a place subject to roaming, I use a dedicated MP3 player instead.