Windows Media Player
Windows Media Player plays many video formats incuding its own WMV (Windows Media Video) and WMA (Windows Media Audio) files, as well as MPEG files, MP3 files, MIDI files, and whatever else people are using these days.
The plugin is basically necessary to have, and preinstalled with Windows. Hardly any other plugin used to play the Windows formats until recently.
The media player application is has a library, visualizations, and the ability to create files from your CDs, though it prefers its own format, and I highly suggest you change it to MP3 instead. It's a good player, and not too bloated for a program that has all these nice basic features, but there are other options.