K-Lite Mega Codec - This is the most essential video/audio player available and I think everyone should have it. This player can support a lot of video/audio format: mpg, avi, divx, xvid, dvd, rmv, flv, ogg, mp3, mkv and the list goes on. With this player, you don't have to installed different player for different file types. Everything can be open from this player. Very lightweight, don't use a lot of memory/CPU.
The player itself resembles the Windows Media Player (the old classic version), hence the player is called Media Player Classic. It will work fine on Windows 2000/XP/2003/Vista/7
Click here to get it.
Screenshots - Mine is an old version by the way