Most media clients like the Roku SoundBridge need a dedicated server software that provides the content. Management of the media files is done by this server which also provides means for searching in the library (request like 'show all files from a given artist). One advantage of such a central media server is that all clients within the network have access to the same media. So ripping your CDs and organizing them in playlists is only needed once. Afterwards your music is available to every player in your house.
Since a client needs a server you will need a computer that is always running (at least always when you like to listen to your music). An old PC could be used for this task but I prefer a NSLU2 since this is a low cost, silent and energy saving solution.
Some clients come with their own server software. The disadvantage is that if you plan to mix clients you will have to deal with different servers. Additionally those servers are typically only available for Windows-based PCs. Next I will discuss the servers I know of (which are music-only servers). These servers are open for third-party clients but you have to check which client works with which server.
The iTunes®-Software by Apple is available for Mac and Windows is a client software with integrated media-server: Simply check 'Share my Music' in iTunes® preferences and assign a name to your server. Now every iTunes® client is able to locate your server and playback the music provided.
iTunes® is an easy and elegant way to get started with a music server. One disadvantage is that isn't available for Linux (and therefore not for the NSLU2) and that it isn't a background-service in Windows so that you need a user to be logged in and the iTunes client to be running.
Note that music bought in Apple's iTunes® store can only be played back by Apple's iTunes® client since currently Apple does not license its protocol for DRMed music to third parties. So for example with a Roku SoundBridge you will not be able to play back music bought there (unless you have transcoded it into MP3).
For the SoundBridge one also has to note that only the Roku version supports direct connections to iTunes® while the Pinnacle ones don't because of not having a license from Apple to do so.
Firefly (which has long been called less catchy 'mt-daapd') is an open source implementation of a music server using the daapd protocol compatible with iTunes®. So a Firefly server is accessible from any iTunes® client including the Roku SoundBridge.
With the name change to Firefly the server now supports an additional protocol (Roku Server Protocol, RSP) which is similar to daapd but a little faster and doesn't rely on Apple licenses. So with a Pinnacle SoundBridge you can connect to Firefly although the Pinnacle versions do not daapd.
Firefly now supports parsing an iTunes® library so that its ratings, playlists ... are reused. Additionally Firefly is a very fast and lightweight server, running in the background (no need to start an application). So if you don't need a uPnP server Firefly is really the best option around.
The best place to download a stable version of Firefly for Mac or Windows is at Roku's Firefly page where you also find documentation about it. For the latest release or for a Linux version (it works very well with a NSLU2) the place for downloading is the Nightly section of the Firefly downloads
TwonkyVision is an interesting alternative to Firefly/mt-daapd if you are looking for a server running on a NAS-device like the NSLU2 and you need uPnP support. It runs on Linux, Mac and Windows computers. It is a commercial server that comes as 'Music Server' for music only or (more expensive) as 'Media Server' to server additional media like pictures or videos.
Microsoft's counterpart to iTunes® is the Windows Media Player with Windows Media Connect® (WMC) as the server. While the Media Player is part of Windows XP you must download and install WMC separately. This changes with WMP 11 where WMC is included in the media player software.
One advantage over iTunes® is that WMC is a service running in the background without the need to run the client. WMC has the advantage that you can stream protected music you bought (WMA with DRM, not iTunes®) to third-party clients like the SoundBridge.