For music it's Foobar2000 on windows or iTunes on Mac (and ONLY on mac). Foobar's lightweight, fast, has customizable interface, and playback configuration that many other players don't (various replaygain settings and the like). iTunes is only good on mac.
For video: VLC or Zoom Player. VLC is like the Foobar of video; plays anything you throw at it, advanced playback customization, lightweight, etc. Zoom is a bit prettier, but performs similarly.
And sweet jesus, did someone actually recommend RealPlayer? That's like saying, "Hey, get cancer, it's AWESOME!"