What is BASS?
 
BASS is a library that you may use to playback many sound formats.
These formats are...
  WAV samples - supports mono/stereo 8/16 bit samples (including compressed)
  Sample streams - stream any sample data in mono/stereo 8/16 bit
  File streams - MP3 and WAV (including compressed) file streaming
  MOD music - uses the XMPlay engine = balls-on accurate reproduction
  MO3 music - MP3 compressed MOD music
  CD audio - play any track with a single function call
 
Other features include...
Synchronization - synchronize events in your program to the music
User defined DSP functions - custom effects may be applied to musics and streams
3D sound - play samples/streams/musics in any 3D position
Environmental Audio eXtensions (EAX) - enhanced 3D sound with 3D reverberations
New DirectX 7 features - support for new 3D algorithm and voice management features
Free! - you may freely use BASS in your freeware games/demos/etc...

I am currently using this library to playback MP3's in my latest game project StarChaos. On my Pentium2 333MHz, this BASS library, while playing a standard MP3 compressed at 96Kb/Second, only takes up 3% of the CPU!

You can download this library here (370Kb)or goto the website at http://www.un4seen.com/music/

I also have a tutorial on this site with source code, which shows you how to use Bass to play an MP3 file.