KMplayer

If you're looking for a something to play almost any file you throw at it, KMPlayer is the choice. Period. I'm rather impressed on how well it plays various media relatively no lag. With a pleasing skinnable interface, it handles many forms of media, Divx, MKV, OGM, AVI, etc. And when I say it can handle MKV it can. Where VLC and rulesPlayer are simply able to run MKV format video... KMPlayer dominates it. I'd give a rather humoring simile on The App's performance but I'm supposed to be informative(Thanks Katja). Anyway, there is a nifty option in the configuration menu that allows you to save setting to the application folder. That or you could just make a file named 'KMPCfg.ini' with the following lines added to it:

[\Software\KMPlayer\KMP2.0\OptionArea]
ConfigUseIni=int:1

I must add that this app is smaller than rulesPlayer, for those of you that use it on your USB drives and are always looking for a more efficient use of space. You can grab a copy of KMPlayer here.