Don’t use Windows Media Player
Do use God’s gift to media players: Media Player Classic.
I can’t say enough good things about MPC. It’s small (less than 2MB), doesn’t use a huge number of resources, plays nearly any media format known to man, and it’s free.
The developers have included support for many plugins by default. If you want to get crazy and really see what MPC can do download the K-Lite Codec Pack. This Windows installer streamlines the process of installing and configuring over a dozen different audio/video codecs as well as Media Player Classic.
VLC is also a really useful media player and can do some things that MPC can’t. For example: streaming any media source over a network. This is especially handy if you want to stream a DVD ISO from a computer to an Xbox. VLC does have a higher learning curve and requires a little more setup to play video than MPC.
Aaron Bronow 
MPC rocks. K-Lite, I have mixed feelings about. http://msmvps.com/blogs/chrisl/archive/2004/07/04/9546.aspxI use ffdshow like that guy recommends.
I see codec packs as a trade-off. You have to assume that you’re getting a slightly outdated version of the software you are installing but it’s all in one place. If I’m trying to get a movie to play at home I would be more likely to install the codec pack just to get things going and then manually update individual codecs later.Also, there’s always the Custom install option. You can just uncheck whatever codec you don’t want.