Take an album like Shpongle's "Nothing Lasts... But Nothing Is Lost" and play the CD. The songs blend seamlessly from one to the other, with no gaps. You can't even tell where the songs end without watching the indicator.
Do this in XMMS, and you get an audible discontinuity between songs. Rhythmbox is even worse; there's at least half a second.
I don't know anything about MPD. Does it have playlists and such like an MP3 player?