I like Google Play Music because it syncs all my music in the chosen directories on my main desktop to the cloud. This means my practice playlists are available anywhere I can log in - my phone, my tablet, my laptop, any desktop in the house.
I tend to plug in a laptop, tablet or phone to a 1/8" to RCA cable on my mixer that also does my in-ear and close-micing mix. I adjust individual volume from there.
A phone with some good isolating earbuds can accomodate most players, and that's my fallback, but I can endorse Google Play Music for a great portable music player.