The most common video file types found here are avi, mpg, mpeg, & flv. There are loads of others out there, but most of these problems have very simple solutions.
If you use Windows Media Player, you'll want to download the DivX codec. It's not necessary to install the player if you don't want to, but it solves a lot of problems.
The ultimate video player is VLC. It will play any and every video and audio file type you can imagine. It's very rare to have problems playing ANYTHING with this program, even the most obscure file types. It even plays flv, which WMP doesn't!
I use winamp for all my music. Some people use itunes, but I don't like how big and bulky the window is for that. They're both good for organizing playlists and what not, but I prefer the much more manage and custumizable winamp to anything else.
If you're using WindowsXP and beyond, you shouldn't have a problem unpacking zip or rar file packs. There are other compressed file types out there, but you won't see them from me. If you have any problems at all with extraction, just install WinRar. After installation, you'll be able to unpack these files with a simple right-click.