Depends on OS and what I'm playing.
My primary Windows music player (I mainly use the mp3 format) is mpxplay. Very off the wall choice, I know: it's a console player, and it fortunately has a Win32 build. (Fun fact: this is mainly a DOS player!) I will use Winamp for formats that require plugins (SID, NSF, VGZ, SAP, IT, MOD, XM, S3M, etc...) however. As for video... VLC all the way.
On Linux, I tend to use moc (another console player) for music, and Audacious for what that doesn't support. Again, VLC gets video duty.
On OS X, it's complicated. MP3s and such get dropped into iTunes, trackers get played in CocoModX (...which means I CAN'T play trackers beyond Snow Leopard, being a PPC-only application), SIDPLAY for SIDs, and a few other specialized applications. VLC gets video here as well, though, and I use Mactubes for YT playback (because Flash). I don't remember everything, though: beyond a hackintosh netbook, I haven't seriously run OS X for quite a while, and have thus forgotten a ton of things I used on it!
Thanks for mentioning SMPlayer, though! I'd like to give it a shot. Mactubes is one major reason I feel the absolute need to have at least one OS X machine up, and it'd be nice to have another task I could do regardless of what OS I happen to be running at the time.