I think it's a great program. It's in fact the best I've seen so far and I've tried a lot of them. But there's just one annoyance: "Save changes to Untitled?" every time you exit the application. I would really like the option to turn that off. It happens when you click "new" as well; don't like that either.
You can get rid of this message by saving the playlist at once and then enable the option "Save Playlist on Exit" in the Tools/Options/General page.
By the way, you can remove all tracks from the current playlist with the shortcut Ctrl+Del. This way you don't create a new untitled and unsaved playlist.