VLC works great for those oddball formats Flip4Mac and Perian can't play, such as MKV. I recommend you get all 3 - that way, you're covered unless you encounter a WM file wrapped in MS DRM, which none of those can play.
I went to the "Flip4Mac" site and found a link to MS to download a QuickTime plug-in that provides just the capability to read WMV and WMA files, both on the computer and on the Internet through Safari. This plug-in for QuickTime was free and seems to work OK.
Another vote for VLC - seem to have a lot of movie files that QT can't handle, even with Flip4Mac installed. Best to have both, as they're both free...