I have a MacBook Air 1.6. I find that watching a WMV using QuickTime and Flip4Mac uses a lot more CPU cycles than watching the same video using VLC. For example, I just tried watching a 640x480 WMV that I compressed myself from DV footage, and CPU usage was almost 90% with QuickTime and only 25% with VLC.
However, there are some WMV's that VLC won't even open, such as some WMV HD movies. Flip4Mac can open those.