On my Windows box, my preferred video player is ZoomPlayer Pro. Infinitely configurable, it lets power users like me know that the picture I'm getting is the best possible. Combined with ffdshow, I can watch videos encoded with complex codecs while only using a tiny bit of CPU. ZoomPlayer also has a no-UI, stay on top mode that lets me put a little video window on top of everything else I'm doing on my machine -- perfect for watching shows or movies while working on mindless tasks.
I've struggled for awhile to figure out how to do this on the Mac because I couldn't find an easy way to get Quicktime, VLC or iTunes to have their windows stay on top. iTunes does have a way to keep the miniplayer on top, but the miniplayer unfortunately doesn't support video. Today, I discovered a prefs panel called Afloat, which gives users control over window opacity and stay-on-topness. There are certain windows Afloat won't float on top of (e.g. palette windows and modal dialogs in Photoshop), but it seems to work for most windows. Another problem with using Afloat for video is that windows automatically become translucent when an application isn't in the foreground. I've written to the author to see if an "always opaque" option can be added. Looks promising!
Another problem is that I can't seem to watch videos while doing any sort of real work (all of my photo work is extremely taxing on system resources). Earlier today I had to renice iTunes to give me smooth(er) playback while working in CaptureOne. I've been harassing Adam Tow to help me write a script that will automatically find the pid of a target app and make it higher priority. :)