There was a really great Plugin called Eraser for WinAMP.
You could bing a hotkey to it and delete the playing song while listening to it.
So lets say i surf the web and listen to my music collection. Whenever a bad song plays which i dont want to keep anymore, i press a shortcut on my keyboard and viola, song gone, next one already playing.
It really makes sense, because usually your music player is minimized and plays in backgroud while you work on other stuff on the pc. right now there is no way to delete songs without interrupting your workflow.