And I'm quite interested in Raina's idea... could you tell us exactly how that can be done?
Well, like m0d said, you have to open "Options and stuff" (F9 or via right-clicking the main window). In the Integration section, you can enable "Monitor clipboard for URLs." The modules in TMA come zipped, so you also need to have you xmp-zip plugin in check but that seems to come bundled with the player these days. Now you just need to have XMPlay running and whenever you copy a link ending in an extension XMPlay thinks belongs to it (according to the Associated filetypes in the same aforementioned options section), it'll try and play it. Additionally I have set "Default action" to "add to playlist" and "Play listed tracks" to "if not playing" for nice, uninterrupted playlist advancement.
Btw, m0d: I had a thought of writing a little random playlist requester in JavaScript. Would this kind of thing belong in the API key realm because it seems I'm getting precious little data in response to my AJAX requests (of index.php?request=view_random)?