VLC is actually one of many players like this in fact.
I use mPLayer for windows on top of VLC as well.
VLC is great for video files, 99% of hat you can throw at it, it will play them.
However i have found that 1% in being videos from my gf's phone
(some type of MP4)
I recommend using a mix of VLC for videos and dvds, mplayer Non GUI for watching large .AVI files and also files you want to open on the fly. (this needs some getting used to, you simply drag your video file onto the mplayer.exe, and it just runs the footage. I make a shortcut on my desktop and just drap em on
you use the keyboard to control it, f for fullscreen, m for mute etc.
For music I can recommend nothing other than Winamp, with iPod and other MP3 player support, it removes the need for that junk iTunes, runs fast, and is easily customizable.
After you have your line of marching programs, get the k-lite codec pack, and use mplayer2 in the run box to play anything else the programs cant seem to grasp.