One application that I always install when I set up a new machine, is VLC – http://www.videolan.org/vlc/
What is nice, is that it will play just about anything. Video, Audio, whatever. It will play AVI’s, DVDs, Mp3s, FLV’s, and any other 3 letter acronym you can think of.
You can set it to be default for all these types, or just use it when you need it. It is open source, and free. Other apps are built on VLC as well (Miro for one)
What is nice, is that it is cross platform, so I can use it on Windows, Mac, and Linux!
When in doubt, install VLC :)