Play music without adding to iTunes Library

Macworld: Mac OS X Hints: Listen without adding to library in iTunes

Make sure you can see the iTunes window, specifically the Source column, along with the song you wish to listen to. Hold down the Option key and drag the song file into an empty spot in the Source column. iTunes will create a new playlist containing the dragged song, but it will not add it to the library. When you’re done listening, just delete the playlist. The original file will be untouched, and once the playlist entry is gone, iTunes will no longer be aware of the song, either.