Most big-name audio players come with a few visualisations to liven up playback. Right-click inside Windows Media Player, click Visualisations, and you can have it display swirling clouds, spectrum-type bars, psychedelic ripples and space flight effects, amongst others.
These aren’t always great quality, though. There may not be much choice, and smaller audio players often don’t have a visualiser at all. But if you like the core idea, you can always improve the situation by installing the free Plane9.