I use Windows Media Player for music, as usually I listen to music while playing games and WMP is compatible with my Music-Player buttons in the corner of my Saitek Eclipse II keyboard (in case I want to skip a track / pause it briefly without alt+tabbing out of the game).
For everything else I use VLC, it's never let me down with a multitude of file formats, although most of the time I just watch basic DVDs with it.