Media players are tools that can play, well, media. To put it simple, media players usually either focus on doing one thing very well -- dedicated MP3 players, for example -- or focus on being "media players that play pretty much everything". From this section, you can download both types, albeit "players that play music _and_ video" are nowadays the most popular ones.
It should be noted that, specifically with video players, the player itself rarely does the actual "playing" (i.e. decompressing) of the video, but instead, acts as a graphical user interface and lets a dedicated piece of software, called codec, to do the heavy lifting. Thus, typically there are no video output quality differences between different video players, as the quality itself depends on codec in use, not the player. As a notable exception to this rule, we must mention VLC that comes bundled with most common codecs and therefor relies on its "own" codecs rather than those installed to your PC.