You might notice in your switch from PC to Mac that OS X has native playback for most video formats out there in MPEG and Quicktime MOV. But, you might still have some Windows Media Video files left that you want to play and notice that you can't play them! There's a few options out there.
Here are the best of the options:
Windows Media Player for the Mac
Microsoft did make a few applications for OS X, including a version of Windows Media Player, but it is not a very good video player in my opinion (on the PC or the Mac!), and it is not really worth the download.
This is a great free plug-in which allows you to view WMV files in Safari while web-browsing and lets you view WMV in the Quicktime movie player, and edit files in iMovie, Final Cut Pro and more. It includes conversion for iPod syncing and playback as well.
The VLC Player is probably the best video player out there for the Mac. It has the highest level of compatibility for videos that I've seen. It can play many many formats, including: WMV, ASF, WMA, DivX 4/5/6, AVI, MPEG, Raw DV, FLAC, FLV, MXF, MP4, MOV, 3GP and more.
In my opinion, the best combination is to download Flip4Mac for native viewing in Safari, and have the VLC app as your stand-alone video player for other videos as well.