VLC media player is a powerful open source audio and video player that natively supports many formats including all MPEG videos (MPEG-1, MPEG-2, MPEG-4), DivX and avi, mp3, wma, wav, ogg, ... It can also play DVDs, VCDs, and various streaming protocols (a Shoutcast discovery service is included).
VLC can also be used as a server to stream in unicast or multicast in IPv4 or IPv6 on a high-bandwidth network.
It doesn't need any external codec or program to work.

Windows
Linux
MacOSX