winamp.ini, studio.xnf, gen_ml.ini, reg entries, backups etc
Backing-up Media Library database/ratings/playcounts:
Basically, "Winamp\plugins\gen_ml.ini" is the ml config file, and the database is stored in the "Winamp\plugins\ml" dir (main.dat & main.idx are the main database, but it's probably best to backup the entire ml dir)
As from 5.5, the Winamp installer is now hard-coded to save/read settings in the %AppData%\Winamp folder.
%AppData% under 2k/XP
C:\Documents and Settings\<username>\Application Data\Winamp\
%AppData% Under Vista:
Note that the %AppData% folder is hidden by default, so make sure you can view hidden files and folder first via Control Panel > Folder Options > View tab.
Though you can just type %AppData%\Winamp into the Explorer address bar and hit Enter.
You can change back to having a shared settings installation again (so that settings are saved/read in the Program Files\Winamp folder again instead) by simply deleting paths.ini from the root Winamp program dir (or move it to some backup folder, or rename to eg. paths.ini.off).