As far as media players go, Amarok is my favourite. It's been getting bigger and bigger recently and it's kinda turning into another iTunes (not there yet though), which is not so good if you're into the more minimalistic players. There is Xmms2 if you want something similar to Winamp; Rhythmbox is a nice little player, though it's a bit handicapped by the interface.

I never really used SFTP from linux much (never needed SFTP so I just used ftp from the console), but recently needed to set up SFTP on a work server for a client - I installed gftp. It seemed to do the trick from my limited testing.

For messenger programs, you basically have Pidgin (Gaim), AMSN and Kopete to choose from. Pidgin is by far the best - it's better than any other client on Windows either, imo.

Be aware that Ubuntu comes with Gnome and uses GTK+ apps by default. If you want apps like Amarok and Kopete (written for KDE) to look nice when you run them, you should install the Qt libraries.