What version of OS X, fink and gcc (if compiling from source) are you using and what version of xmms are you trying to install?
I had a similar problem recently. I had xmms compiled from source on 10.2.8 using the fink 10.2-gcc3.3 tree of version 0.6.1. Everything worked fine until I upgraded to Panther (10.3.1) and fink 0.6.2. I also went from running a version of X11 that I built from source via fink to Apple's X11 implementation. When I upgraded I blew away fink and installed everything from scratch. I compiled xmms and it ran, but none of the plugins would show up no matter what I did. xmms-config showed everything was fine and I also tried copying the plugins to my $HOME/.xmms/Plugins directory.
I read of someone else having a similar problem on the xmms.org forums and they fixed the problem by installing the binary package via FinkCommander. I deinstalled the copy I compiled from source, installed the binary and now it works. If this is similar to what you are experiencing, I'd try the binary package. I emailed the port maintainer to make him aware of the issue too.