Apple Quicktime covers a lot of file formats, but it may not be enough.
To play non DRM-protected files for the latest version Windows Media Player, you will need to download and install the Flip4Mac plug-in. It is available from the Microsoft web page for Mac WMP users. (Microsoft no longer makes a version of Windows Media Player for Mac users.)
For some streaming media, such as that on the BBC's website, you will need the Mac OS X version RealPlayer. It is available from real.com .
To play the .ogg files common on Wikipedia, you will need an Ogg-Vorbis compatible player such as VideoLAN. It is available from videolan.org .
The basic versions of the aforementioned applications are free.