If you need to view movies in MPEG format then you can't afford to ignore PocketTV. The program is one of the most popular portable media players around, and performs very well to boot. Besides the usual things like loading movies, playback controlling, volume tweaking and full-screen mode, PocketTV can play streaming videos through the HTTP or FTP protocols.
There's an abundance of options to play around with, including the ability to set the size of the window, adjust colours, change brightness/contrast, tweak audio quality and a lot more besides.
If you're still in search of the perfect media player for your Windows Mobile device, you've probably just found it.