Videolan, or VLC, is one of the first open source multimedia applications that I install on Linux and Mac. With VLC supporting most major video and audio codecs natively, it automatically becomes my default player. However, it is not only a video/audio playback software -- it also does streaming (as a server and client) and even encoding/transcoding. I remember converting a video from one format to another using VLC - not really that pretty but it really is powerful and useful.

Learn more about VLC's power by reading Dmitri Popov's article, "VLC beyond the basics". And oh, it also runs on Windows. :)