Besides the particular and what file types are supported the version of Windows can make a difference at times. For WMP as one example it works great in Vista along with ITunes, VLC, Media Player Classic, Jet Audio while the XP version of 11? Stinks! WMP 10 is the best for XP as far as which version of WMP is concerned.
Some will go right after the alternate players named above over WMP for being less demanding on system resources. Some free players on the other hand simply are not worth the effort.