iTunes is ok for music. Not great, merely ok. It's a decent program for organizing your music and of course Apple wants you to use iTunes to transfer music to your iPods. It sucks for video playback.
Windows Media Player is an ok all around media player. I have never really used it for anything other than videos. There are certain extensions it'll play (like OGG video) but it won't think it supports and it keeps popping up an annoying as heck popup saying it may not support the video file. It'll also ask if you want to play this type of file automatically in the future but the setting never gets saved so the popup remains.
Stick to Winamp for music playback. It does play video but it sucks at it. It's great for music playback.
I usually use BSPlayer for video playback but I'm thinking of trying out VLC because it's free and supposedly has very good video support. I do use Media Player Classic for RM files. Unfortunately a lot of TV shows (Taiwan, Hong Kong, China) are uploaded to the net in RM format so I need something that will play it. I am NOT installing Realplayer on my system ever again.