There is a great and simple solution for adding media key support to XFCE:

http://code.google.com/p/mediakeys-daemon/

It's a simple Python script that does two things:

1) Can run as a daemon (I added it at startup) and simulates the GNOME MediaKeys D-Bus interface.

2) You can send it commands to handle the media keys. If I map XFCE key shortcuts to run these, then -- voila! -- I get perfect media key support.

It works really great, and would be a great addition to XFCE. Already Xubuntu ships with gmusicbrowser which would make use of it immediately. The forums of full of people wanting to use it...

It could possibly be integrated into xfce as "xfce4-mediakeys" or something similar, and the default configuration could make sure to start it, as well as map the common media keys to its commands.

I didn't write the script, but I sure do love it.