There is a plugin for Winamp that I have been using for years called Lyrc. It fetches the lyrics from the Lyrc database when the song starts playing...displays the page in the Now Playing window in Winamp 5 or the mini-browser in Winamp 2.
It's available for a few other players too...and open source.
Nice thing about this, is that it's a user built database. If they don't have the lyrics for something, you can do a google search, find them, and then submit them yourself right from within Winamp. The more people use it the better it gets.
Another nice thing about it is that it's not just limited to mp3...this will display lyrics for CD's you play too. It's all based on what you see in the playlist window for the track playing.http://lyrc.com.ar