What do you recommend for a MIDI player that just works? I've already tried KMid, but it plays my MIDI files with no audio. I found a decent MIDI player once, but I lost it the last time I reinstalled my distro, and can't remember what it was called. Notwithstanding that, probably my oldest unresolved problem with Linux is my inability to play my MIDI collection.

I use fluidsynth:
http://fluidsynth.resonance.org/trac

All you need are some soundfonts, like:
http://www.personalcopy.com/home.htm

then just run:

What is a soundfont?

Well, it contains the pre-recorded sounds that are needed to interpret a midi file. Higher quality soundfonts make for nicer sounding midi files. But, of course, some do cost money.

There's also some here:
http://fluidsynth.resonance.org/trac/wiki/SoundFont

Ah...so if the midi file playback is missing an instrument (or just plain sounds awful), it could be a lack of soundfonts? I thought I should blame it on either the midi player (I'm trying Timidity right now) or my sound card.

I don't know...I think my MIDI collection definitely sounded best on the used 486 that I had from 1998-2004.

Yes, if it sounds unusual, I would look for better soundfonts. Now, other factors may come into play, but in this case soundfonts would be the most likely cause.

I looked up free soundfonts, and learned that there seem to be different ones for each instrument and even for different sound effects. I don't recall ever hearing a sound effect in a MIDI file, but since my files must have any number of instruments, don't I need to download at least one soundfont for every instrument?

Usually one soundfont includes many instruments, so no, not one for every instrument.

$ timidity file.mid

$ pmidi file.mid

You'll need soundfonts in most cases, because modern soundcards lack native midi support.

# apt-get install freepats timidity

And your distro might not configure things how you like to start with. For timidity, you'll need to adjust /etc/timidity/timidity.cfg. Or at least I did.

$ echo "source /etc/timidity/freepats.cfg" >> /etc/timidity/timidity.cfg

And there's a few other soundfonts / pats out there. Not always complete sets of soundfonts and some concerns of copyrights with some of them.

If you lack timidity and/or soundfonts on your system it might explain you're lack of joy in the audio realm. You might also need to have your soundcard configured with sequencer support. Depending on how you use midi on your system.