If you're looking for a media player that is as light as possible, but at the same time offers us compatibility with all the current formats, you can try MPlayer. This application is compatible with MPEG, VOB, AVI, OGG/OGM, VIVO, ASF/WMA/WMV, QT/MOV/MP4, FLI, RM, NuppelVideo, yuv4mpeg, FILM and Matroska, as well as VCD, SVCD, DVD and Blu-ray. It also offers support for any codec you've installed on your computer and more that 10 different types of subtitles.
MPlayer doesn't have a GUI and is controlled from the command line using the keyboard, so it is highly recommendable to take a look at the help file (that is included) before launching the application.
Another thing that works in this application's favor is that is doesn't require installation, so all you have to do is extract the ZIP file that contains the software, launch it and start watching your favorite films in a matter of seconds.