VLC Media Player

This program plays ALL video file types without the need for codecs.
Make this your default application for video files when installation asks you, but not for audio files.
VLC is also capable of streaming audio and video on your home network.

Winamp

"It really whips the llama's ass." - Winamp's slogan
Great library design, awesome visualizations, and thousands of free audio/video streams.
Make this your default application for audio files, but not for video files.

TuxGuitar

This program is truly a musician's best friend.
It is essentially a free version/clone of an expensive program called GuitarPro.
TuxGuitar will open .gp3 and .gp4 tablature as well as normal .tab and .txt tabs.
Not only does it display the tablature and sheet music on your screen, but there is a PLAY button.
Music is played through Java's midi soundbanks and the speed is adjustable for learning.
Don't let the name fool you, this program is good for guitarists, bassists, drummers, and more.