Overall I would have to say that Windows Media is better than Quicktime.
Windows Media supports many formats well and it has a fairly nice, free movie maker located
here . WM does have Mac support but its pretty much a dedicated Windows product. Also finding codecs, as said above, can be a big pain in the ass (lord knows how many I have on my system).
Generally I prefer WM just for convienience sake.
Quicktime is a nice format that streams well over the internet but its got its problems. It does try to associate itself with many file types, even if its not the best program for the job. Also its constant bugging the user to upgrade to the non-free pro version is bothersome. Also from my experience as tech support for online courses streamed with Quicktime, it does a good job of really messing up some peoples' computers (all windows users).
Neither of these players hold a candle to the horror that is the Real Media Player. Reals' ad laden, overpriced, proprietary format is just bad on all levels. Nothing like a format that can't be played on with any other software with a reduced number of features on the ad laden free version. Oh, and the whole taking over of file associations issue.