Well, I used Sonique for a couple years, but last fall switched to Winamp. Here's my opinion of the 2:
1) At default setup, Sonique sounds better, having a nice warm sound.
2) WinAmp has more plugins and I've found a combo that to me sounds better than Sonique.
3) Sonique has a much more diverse interface, which allows much more customization than WinAmp(WinAmps is rather dull and constraining). To further clarify: WinAmps basically comes in 2 sizes, normal and bar(can be adjusted somewhat, though most skins become icky). Sonique allows the skinner to make the interface as big or small as he/she chooses, this offers a greater level of customization. I often use my system from across the room when first waking up. It took me a long time to find a half decent WinAmp skinthat was visible from a distance. With Sonique I had a much easier time finding a large interface that looked good too.
4) I think Sonique is dead, but don't know for sure. If it is, it's too bad, I wish WinAmp would be more like Sonique.