On Windows, I always install the CCCP to get all of the codecs I need. It’s a nice pack of mostly open source software. Most of the audio and video decoding functionality it provides is provided by libavcodec from the FFmpeg project — this library also powers the decoding of VLC, Perian, and most notable media players on Linux. With the CCCP, this is provided in the form of FFDShow, a set of DirectShow filters that can be used by any Windows application that supports DirectShow. The CCCP also includes Media Player Classic, a nice, light player, pre-configured to just play everything right. No thinking involved, just install the CCCP.
However, I find that libavcodec is not fast enough to decode high-bitrate h.264 content in real-time on my machine (2.4 GHz Core 2 Duo) — say, for example, the h.264 content that you would find on a Blu-ray disc. So, I set out looking for alternatives.