I would like to have it too. Sure you can use an external player like winamp, but why depend on third party apps to make it sound good? I can't always install winamp on a public or work computer. At home I'm always torn whether or not to bypass subsonic for a direct file access using a third party app, but really like the complete access and interface that subsonic offers. Also I like to see what my friends are playing in which I say "oh yeah, haven't heard that in forever,,, cool!" and then fire it up!
+1 for web EQ!
+1 for subsonic! Great product.