Really depends on what you want to do. For most common scenarios, I've found that the MCIWnd functions work well: they're really easy to use and can play any format for which a codec is installed.
DirectSound is somewhat more difficult to use but gives you much more control over the output; it lets you add special effects and simulate 3D positioning.
The waveOut functions are the lowest level API you can get to and they are a kind of double-edged sword: you get to control exactly what goes out to the speakers, but they accept only raw waveform data, which means you are responsible for all decoding and post-processing of input data. PlaySound essentially provides a nice wrapper around this.
