There are several options if you want to have your video on a site:

a) use the embedded Windows Media Player, as has been described above
Pros:
- you can use your video file as-is, without conversion, as long as WMP can play it.
Cons:
- the user will sit there and wait until the movie has finished downloading in the background, not aware of the progress of the download, unable to make the decision whether or not to keep downloading the whole movie after watching the first few seconds / minutes.

convert your movie into the SWF format and use it in conjunction with a relatively sophisticated, XML-configurable SWF player that has a preload option. An example of this can be found here, as well as on many other sites:
http://www.homenetworkhelp.info/popup.php?...-spyware-video1
Pros:
- the user can see the progress bar and is aware of the movie downloading
- the movie will start automatically after one third of it has been downloaded, thus avoiding playback fragmentation that would happen when the playback rate is faster than the download rate.
Cons:
- relatively difficult to set up, requires an advanced degree of understanding of HTML, XML, and of the interaction between the SWF player and the rest of the web page.
- requires conversion of video file into the SWF format (is there free, open source software to do that? I don't know).
- not entirely sure about copyright issues, the SWF player on that example site I gave you seems to have been "borrowed" from the desktop training CDs made by a company called Linux CBT.

c) convert your movie into the FLV format and use it in conjunction with an open source player that is relatively small in size (29KB), called flvplayer.swf.
This is the method I personally prefer for my purposes. An example of this can be found on one of my blogs at:
http://dserban01.googlepages.com/very.funny.html
This one is a vacation video that my girlfriend took, and its original format as it came out the digital camera was MPEG.
Pros:
- progress bar, pause button and the capability to view the movie in full screen mode
- the setup is relatively simple, you can just copy the HTML code from the webpage I gave you, adjust the width and height according to the original resolution of your video to avoid pixelation and you're good to go (you need to add 22 pixels to the height to account for the control bar though).
Cons:
- requires conversion of video file into the FLV format (there is free, open source software to do that - it's called Riva FLV Encoder).

people, read the first post pls. He's asking wich player is best for embedding in a website, he's not asking for a standalone player.
I'd try embedding your videos in the flv format. You could use video hosting services like youtube, dailymotion, ... or you host them yourself and serve them using the JW FLV Player ( http://www.jeroenwijering.com/?item=Flash_Video_Player ).

For converting video's into an avi format (DivX, XviD, Indeo, ...) I'd suggest you'd use VirtualDub. To convert your videos in other formats you could use Super ( http://www.erightsoft.com/SUPER.html ). It can convert to flash video, quicktime, real, wmv, avi and it even supports the PSP and iPod profiles. Super doesn't give you many options, but it works tremendously well. If you want to use the windows media video format, you could try Windows Movie Maker.