
Playlist Selector is a Winamp plug-in that allows the user to store multiple playlists and provides an easy way to cycle through them. I wrote it so I could use my x10 (although I hate their pop up ads) remote and have access to all of my music (although it works fine for other applications). It is fairly straight forward to use. Just download the file and use the installer.
The configuration dialog:

-or-
Listed on Winamp.com