KMPlayer is a free Portable Korean Media Player that can be run entirely from a USB device.
Supports video formats like DVD, VCD, AVI, ASF, MKV, MP4, MPEG, OGM, WMF, RealMedia, Quicktime .
Almost every audio file is supported without installing additional codecs.
The subtitle support of this player is outstanding. Can be used to listen or watch internet streams as well, using the function Open->Open URL