The media player which is most frequently recommended by contributors to AB is VLC. (It's also been widely praised by technology programmes on BBC TV, Radio 4 & World Service, as well as by several PC magazines):
http://www.videolan.org/
(VLC can cope with virtually all video formats, including FLV, and doesn't suffer from the 'missing codec' problems frequently associated with WMP. Playlists are supported).
Another video player which is gaining in popularity is GOM:
http://www.gomplayer.com/
Chris