I personally can't see myself using Real Player. It is slow, spies on you and its generally dependant on that stuff you mention. (cache, cookies, etc).
I personally use WMP and the Nero Player that comes with the new version (7.something) to play anything else WMP does not recognize.
Installing Divx Player on your PC can also add a few codecs to WMP in case you can't get Nero. (I have Divx, since I just recently got the Nero suite)
Both work great, (WMP and Nero) and they never "complain", even if I set Privacy Eraser (another great piece of software) to clean at start up.
So...is there any type of audio or video file that you CAN'T play having both Nero and WMP? (at least speaking of "mainstream" file types - I know there can be some 'specialty' files that neither could play)
Anyways.... just my 2 cents