I want a headless music player that I control from my laptop

I believe that mpd is what you're looking for. The player itself is a daemon that runs on the server, and is controlled by a client (mpc, as a default). The client can be run on the server via ssh, and I believe that it can also be run on a separate machine. Setting up mpd is a bit of a pain, but it's worked well for me.

I often ssh into my ubuntu box (with ssh -X) and run audacious to listen to music. The UI shows up on the laptop but the sound comes out of the ubuntu box. This is under windows with cygwin xserver but mac has an xserver I believe.

I think that a good solution would be to run MPD (Music player daemon) on the Ubuntu machine and either a browser based client such as Music Player Minion within Firefox or a stand alone client such as Theremin.

Here is a more complete list of clients for you to have a look through - there is a good chance that there is a better one for you.