The only difference between Media Player and JetAudio (as far as file format support goes), is that Media Player doesn't support Real Media where JetAudio does. Media Player does support mov-files (up to version 2.0), dvd,... who needs Real crap anyway... .
And as far as I can tell, JetAudio is a 14MB download, too

Here's a list of what Media Player supports.

I've always found Media Player (with the DivX codec pack) the fastest player for any media (although I use the licensed MusicMatch for music, because of the enhanced features).