Audacious seems to be the best replacement for Winamp in Linux these days. Its default interface is too big and plain, but it supports Winamp 2.x skins. It also uses plugins to implement various functionality and has an even better plugin API than Winamp.
There didn't seem to be any equivalent of the Winamp "Find File on Disk" plugin, so I created one. This gist contains the source code. To use it, right click on a file in the playlist, go into the "Services" sub-menu and select "Open File Location". You can also select multiple files in the playlist, and they will all be selected in the file manager.
Right now the plugin is written to use the KDE Dolphin file manager, which offers the nice
--selectflag. I'm not sure how to make this automatically work well with any file manager.