Ok before the dev's and support folks disregard this guys request, let me just say, I was going to ask the same thing. Maybe offer it as a winamp pro feature.
Basically VST is a standardized plugin system for music applications. VST plugins can send audio to the VST host through some VST API. They can recieve audio, and they can modify audio. All kinds of fun things.
I use Justins Frankels Reaper
as my music application. I use Reapers multitrack to monitor my inputs from the karaoke CDG drives (2 of them), 2 mics and it monitors my directsound output.
Winamp as a VST wouldn't send audio out through directsound or waveout, rather it would send it to the host application VIA the VST API. Could be Reaper, could be cakewalk, could be Sonic as espion said. Point is, i'm sure a lot of music creators would register winamp pro in a heartbeat if it meant Winamps playlist, media library abilities could be used within their favorite audio application.
I could have 2 reaper tracks, each loaded with it's own Winamp VST on their effect chains and crossfade between them.
There's just a bunch of cool stuff that can be done with it. I demand this.. Now.