Ok, some more info about Winamp Profiler. It seems you can add more files to be stored per profile.
In the Preferences box (tab profiles) you can click the button 'other files...'.
(btw: i didn't try this myself, so it's on you own risk
For remembering moderns skins add the file studio.xnf (in your winamp folder).
For the media library (though i doubt that'll work) add all files in Winamp/Plugins/ml AND the file gen_ml.ini (in Winamp/Plugins).
It would be even better when opening winamp would show a box where you could choose which profile to use.
Maybe that's under the button 'logins...', but that button made my winamp crash