If you want a streaming service, you could try HyperPipe. It’s an alternative frontend to YT Music. There’s also BeatBump, but it doesn’t really work.
If you wanted to go local (which I recommend), have you tried foobar2000? It’s proprietary, but I trust it and it does its job very well. No ads, no data collection at all, and it plays just about every audio format you’ll normally come across (apart from MIDI files). You can also customise it with skins, sync over FTP, and play internet radio streams.