I have purchased many, many Soundfonts over the years. Most of these are in the SF2 format which is now sadly quite dated and unsupported. There are several free sound font players on the market currently that use the SFZ format Sforzando (see graphic below) and Alchemy among them. I am currently working my way through the SF2 files and converting them to SFZ files using SFZed.
SFZed is a great utility but Windows only as far as I am aware.