I've tried a lot of them, and here are my comments:
WMP - Kinda okay, not really my type of player. Very simple and little features. IMO it's like comparing Microsoft Paint to Photoshop.
VLC - Very interesting. Doesn't need any codecs, so it's very handy to have. A bit of trouble with fastforwarding and rewinding, taking screenshots and finding certain frames, but it's an okay player. Can play incomplete files. A pretty dirty skin.
The Core Media Player - Sleek. My favourite player. Has a playlist so you can play all your episodes/music tracks in a row without having to click them, I think you can do the same with WMP, but I prefer this one. VERY sexy layout, smooth and can handle complex instructions, or you can leave it simple as is. Needs codecs to play, scans for all codecs on your computer before you play. From my experience, I cannot play incomplete files, but some people say otherwise, so I don't know. A very good option for a player.
Nero Showtime - Amazing. A cross between VLC and The Core Media Player, this player has some basic codecs built into it, but still uses the ones on your computer. Decent skin, which you can change, and I use it as a last resort, because it plays just about anything. On fullscreen it tends to blur videos a bit, but it's not much of a problem.
RealPlayer - I use it for RM and RMVB. Nothing else. I like it but I can do better
A nice Web Browser that's fun to have. More of a work of art then a media player, IMO.
MPlayer - If you have Linux, yes. If you have Windows, no. No visual layout, just a box with a video, I still do not know how to do anything but pause, and it's run by MS-DOS. I deleted it a long time ago, and I don't even consider it a player. Where are all the buttons?
DivX Player - Good, again, but only uses the DivX codec and such. Can't play much else. Nice layout, pretty sharp when fullscreen, and a nice player for DivX and XviD movies.
ZPlayer - Love, angel, music, baby. Plays every single file, including RealMedia and Flash Movies. Even plays Flash Games (just a tad hard to play)! I've never found a more convenient player. It's one of those all-in-one players, almost a combination of everything above. You need your own codecs, but not all of them. It has the basics built into it. IMO, the perfect player. But others may disagree. Interesting skin with a soft feel.