If you press and hold the Alt key then hit the escape key (the back-looping arrow next to the end call key), then you'll experience the app switcher - one of the hidden gems of the BlackBerry OS.
Many people, including RIM co-CEO Mike Lazardis, have this mapped to a convenience key in order to allow for quick app jumping and to fully leverage the BlackBerry's ability to run multiple tasks.
Just as a forewarning, certain apps always run - they include Phone, Browser, Messages, BlackBerry Messenger, and of course a shortcut to the Home Screen.
When you move the media player to the background, you'll see "Now Playing..." in the app switcher - that's the one you want to switch back to. In fact, "Now Playing..." should show up in most system menus if the media player is paused in the background.
Yet another shortcut is to use the mute key to pause and resume....
I hope these suggestions help you out to some degree.