"Welcome to the light side of computers."
[All are built in unless otherwise noted]
iTunes for your music needs.
Quicktime does quite a few movie formats.
VLC [not built in] is great for the format that Quicktime cannot handle. I don't like the interface, rather hard to get used to, but it plays DivX files, and other random things you find.
Toast Titanium [Not built in] is great for everything you can't burn via the Finder. You can burn from disc images, burn video CDs, (it even comes with a plug in for iMovie so that you can encode video at the right quality!), and burn in all kinds of formats. It's really nice. You can burn DVDs, too. I have version 5 and don't see any reason to upgrade to version 6. Just make sure that to make it work under Panther that you download the update. (free)
MacStumbler [not included] Detects wireless networks. Allows you to, uh, borrow wifi wherever you go.
iTattle [not included] Tells you everything about your network connection that you'd ever want.
Check here for more OS X apps. There are quite a few threads on this!