Mine skips too using the default media player. I'm sure it's background activities like mail and facebook widgets running. I'm gonna try killing those apps for my drive into work today and see how it goes. I like how the bluetooth still overrides the headset and that the speaker also still works when the bluetooth is connected, unlike my previous phone.
I also like how the controls are integrated into the lock screen but there is no way to close the app once it has started except to pause and exit (but it doesn't really exit), it stays running in the background.
I use advanced task manager free to "kill" it (and the task manager itself) and that seems to work really well. I can make it through a whole day on a full charge while keeping myspace, twitter, facebook, and mail widgets running and I turn my bluetooth on for several hours of driving daily as well.
I would prefer an update to the HTC media player personally than to download a third party. I have Pandora too but only use it for streaming audio. I have noticed a lower than expected volume too. Hopefully a soon-to-be future update for the HTC stuff will includes fixes for volume and skipping.