I usually use VLLC for weird video formats that aren't supported by MWP (although I've install CCCP so they usually are now). My only problem is, when playing MKV files, the video will break up occasionally and get really bad - something that doesn't happen when using WMP.
Another problem I find is when you skip along using the time bar thing the audio will stop for a few seconds (while the video plays normally) as if it's trying to catch up. Whereas in WMP this doesn't happen - I can skip to anywhere in the video with no problems at all.