At the very least, they offer features not available in iTunes, such as upsampling and access to the audio filters built into Mac OS X.
Many people feel that using the audiophile-oriented music players improves the sound with their equipment. This now leads the pack of the free players (after the association was dropped and the program re-named Decibel) if you want a simpler program and potentially better sound than you get using iTunes. As those two have fought it out in the commercial arena, the developer of Play came up with a free program, AyreWave, in conjunction with Ayre, which combined the simplicity of Play with high-quality 64-bit playback. Offering higher-quality playback, it has become famous among audiophiles, alongside its biggest competitor, Pure Vinyl (and now Pure Music). For a while, that was Play and one or two others, but then Amarra came on the scene. Though iTunes wiped out the need for competition when it was introduced, it has become a huge, multimedia and store program, leaving many people wanting something simpler. There seems to have been an explosion lately in 'audiophile' music players for Mac OS X lately.