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I'm also going to have to add to the support for the VLC media player. I can honestly say that I have never used a player that is so consistantly reliable. I cannot recall a single time when VLC did not work. VLC all the way.
i heard about a player that sits just above the taskbar (it's like a bar above the taskbar) and it supports all formats. I forgot the name, if anyone knows it please tell me.
I think I used it before. jetAudio Basic. It's a freeware I got from Download.com. It looks cool and i remember it could sit as an icon on the windows tray and as a bar which is just as you said. I'm not too sure of the format part though. It suppourted many formats, thats one thing I know for sure. It is good but not that supported thanks to Microsoft's bunddling of softwares which smashed quite a number of competitors.
Media Player Classic gets my vote. It's OpenSource and released under the GPL. Also lots of features and it's regularly updated. It's also one of the smallest media players around. Fast and lite - that's what I like.
I like Microsoft Media the best, although I still need divx codec to play my files. It could be that I am used to the navigation and I love all the features.