Update (April 2017): This blog post was written in 2006 and is no longer relevant; development of Perian and XiphQT has ceased.
If you’re a Mac user, get yourself a copy of Perian. It’s a small (less than 1 MB) add-in for QuickTime which enables it to play back a much wider range of video formats, including DivX, XVid, Flash Video, 3ivX and a number of others.
This means that, when combined with Flip4Mac (for Windows Media) and XiphQT (for Ogg Vorbis, FLAC, Theora and Speex), QuickTime on OS X is capable of playing all major audio and video formats, bar RealMedia which you will still need RealPlayer for. But that means that you can get away with just 2 media players, rather than having one for Windows Media, one for QuickTime, one for DivX and VLC for everything else.
Perian is open source and is a universal binary, so it’ll work on both old and new Macs.