I use iTunes to tag mp3s because it has the file name availble to modify in one of the fields already. That just eliminates the extra step of copying and pasting every single one. However, OF COURSE, apple's programs have a tendancy to not label all the fields, so you can see how at fault it would be in a program like Winamp.
If you have the same item to be put in a lot of files, like the album name or artist name, you can use the tons of file renamers out there, like Magic File Renamer.
I've yet to find auto-namers out there that work really well, since none of the programs I use really work well with my naming conventions:
artist name - album # name - track # name
Comes out to something like:
the offspring - 02 ignition - 01 session