There is indeed not much for Windows.
I know of a crappy and unstable plugin for winamp. Not very stable and not doing any passworded logins etc.
Then there is a java program called GIT (Get it together) that works stable, albeit mp3 only.
And there is the builtin java applet in mt-daapd. http://host/applet.html, which is not really supported any more but used to work as well, though pretty limited in features.
Oh and of course theres plenty of programs for linux. Both kde, gnome and indep. have players who do connect to daap servers.