Lineak – this is what you use to get the extra buttons on a multimedia keyboard to work. There is also a helpful page on controlling xmms here. You’ll want to install lineak-defaultplugin using apt-get to be able to control the volume.
Tweaking Ubuntu after the first installation – including how to install a decent music player, disable IPv6 in Firefox, and download a processor-specific kernel. More information on the xmms music player is available at the homepage.
It struck me that whilst trying to figure out how to set everything up, I really should have saved more bookmarks in case I need to do it again in future. Never mind.

UPDATE: There’s a much tidier way of doing this, which doesn’t require lineak. I’m not sure if it’s new in Hoary 5.04, but here’s how you do it.
1. System > Preferences > Keyboard Shortcuts. The whole thing is pretty intuitive, and should be easy to use. However, to get the audio control keys working in XMMS it was necessary to perform another step (effectively it was necessary to redirect the Play/Pause command to XMMS – see step 2)
2. Applications > System Tools > Configuration Editor. Within this program, navigate to apps > metacity. In global keybindings, set run_command_1 to XF86AudioPlay, run_command_2 to XF86AudioStop, run_command_3 to XF86AudioPrev and run_command_4 to XF86AudioNext. If some of these slots are already in use, use different ones. Then, in keybinding_commands, set command_1 to xmms –play-pause, command_2 to xmms –stop, command_3 to xmms –rew and command_4 to xmms –fwd.