For video, it varies. I guess I'm a shill, but use the "official" players: QuickTime, Windows Media, and RealPlayer.
For music, I (heart) MusicMatch. Runner-up is Tray Player (Winamp works well, but I really don't like the way it works). Way down the list is Windows Media-You-Must-Use-WMA-you-clod. iTunes I don't care for.