Since the question keeps coming up, here are a number of software players and tools that can be used for the various media formats. I expect that this list will change, and is probably no way exhaustive.

Apple QuickTime/QT Pro:
Plays MPEG (mpg) 1, 2, 4 | .mov | .mp3 | .aif | .wav - the "Pro" version will also let you do minor editing of different types of files.
www.apple.com/quicktime/mac.html

Apple DVD Player:
Plays DVDs, usually

VideoLan Client (often called VLC)
Very robust media player. Able to play .AVI files, including ones that have been encoded in 3viX, DivX, etc. Supports multi-region DVDs, VCDs, subtitle files, VIDEO_TS, etc. If you want to watch .AVIs, this is the player for you.
www.videolan.org

MPlayerX
Similar to VLC with support for a variety of formats of files, including WMV9 (windows media).
mplayerosx.sourceforge.net/


Windows Media Player
A player for the Windows Media filetypes (WMV). Now discontinued by M$
www.microsoft.com/mac/other...ducts.aspx

Flip4Mac
Reccomended by M$ as a WindowsMediaPlayer for Mac replacement. Upgradeable to a Pro + Studio versions.
www.flip4mac.com/wmv_download.htm

ok, that should be a start. I'll continue to update this, and if people want to add or make corrections, let me know. Next time look for conversion tools.