I use
Media Player Classic, which comes as part of the KLite Codec Pack. It's not as pretty as some of the other media players - no skins or themes, just a basic layout, but it's very powerful and does the job of playing media files perfectly without any fuss.
It can play DVDs, MP3s, Real, QuickTime, AVI, MOV, in fact 99.9% of all media files as long as you have the codecs installed. You can alter the size and shape of the screen in small increments, accurately frame advance/rewind, view subtitles, use filters to improve the image quality, etc. Highly recommended if you don't mind the old-fashioned interface.