Yeah, you run an analyzer on your library and it creates MP3 or Ogg Tags that the player. Often you can leave the rest of the file as it was originally, just the new metadata tags.

On Windows I've always liked Foobar 2000 for its strong ReplayGain support, both automating the analyzing pass and respecting the metadata in the tags once saved. On Unix I was using Banshee for playback and automating analyzing with a pair of CLI tools I've forgotten the names of, one was MP3 specific and the other Ogg/FLAC-specific, as I recall.