I'd agree with SPeedY. VLC should be able to play most video formats, but I usually tend to use it only if there's something WMP10 can't already play. Don't get me wrong - VLC is one of the coolest apps I have seen, but it just doesn't feel as solid or as polished as WMP10.
What sorts of problems are you having with WMP specifically? Have you updated to WMP10? It's far better than WMP9 was, and has a much cleaner UI as well. If you're having stability problems, you might want to reinstall it once. If there are glitches during playback, it might be a problem with the codecs. Try reinstalling those, or check the configuration panels for them, if any.