I used one called Encore (Google Gvox Encore to find it) and now I'm using Sibelius. The problem with those two is that they're only trial versions with limitations and you have to buy or dowload it illegally to be able to use properly. I think there's another program called Finale (which is not free either) but I haven't tried it.
They can all playback, what I'm not sure about is if they can save the files in MIDI to listen to them with ordinary media players, other than the software you used to create the files. I don't know about Encore since from what I remember it was mostly piano oriented but in Sibelius you can write a full orchestra and it sounds good.
Something that annoys me is that you cannot transpose phrases in other keys without changing the original key of the whole piece. So it's almost more practical to write by hand...
I have finale notepad 2007, free version. works pretty well, but I have been frustrated by several things, such as the inability to make some notes in a chord come in a little later by using rests; it won't let you put a rest above a note, it must register that as an oxymoron. all around I have been pretty pleased, there are a few glitches, but what can you expect with a trial version. The playback feature is good, you can change the speed, etc. and best of all it's free.