Well, I went through the tutorial at: http://www.winamp.com/nsdn/winamp/skinning/modern/
I found it easy to walk through. I took the Simple Tutorial skin, and eventually came up with something I'm quite pleased with (it's fairly basic).
The screen shot can be seen here: http://www.sbroadbent.com/skins/screenshot.png
With the actual skin here: http://www.sbroadbent.com/skins/tarjav3.wal
At this point, I tried skinning the playlist. In an attempt to continue the development of my skin, I attempted to take a look at the xml files of other skins I had come across to try to figure out what code I needed to add. Unfortunately, most skins out there are comprised of a huge number of files, and I became hopelessly lost trying to wade through them, trying to identify the elements that I could copy/paste and then modify. After a few failed attempts to mod various files, I gave up on that.
About the only thing I added to my skin beyond the elements in the tutorial skin is the ability to shut winamp down. I was going to have a separate button to shut it down, but I had a few problems getting the separate button to display before I decided to convert the "Eject" button as my Close function (I don't ever use eject anyway, and it is now labeled appropriately).
So now I'm in need of some guidance trying to figure out what xml I need to develop in order to get the various windows skinned. I don't care about the whole normal/shade issues at the moment (I'll deal with those issues when I have more experience). The only other things I'm looking at adding to the player is a progress slider and volume control. Since the tutorial didn't have those, I'll have to figure out how to adapt an existing one.
I definately like the flexibility the xml provides with the modern skins. As far as I can tell, classic skins are mostly different paint jobs.