There are two ways around this. Method one is the dmixer plugin for ALSA. Have a look at the ALSA WIKI and it gives pretty good instructions there. The drawback is that it only works for ALSA-aware apps (like mplayer or xmms). Programs with OSS output will claim exclusive access to you sound card as before.
Method two is employing the use of a sound server. Some sound servers include esd, arts, yiff and jack. Of these, jack is the highest quality and lowest latency but I think it may not be supported by some programs. From what I've been told, arts is very bad and a good thing to stay away from. It is, however very widely supported.