Combined Community Codec Pack
Combined Community Codec Pack is a DirectShow filter pack for Windows systems.
It covers a huge amount of video codecs and filters, and as far as I know the only one that officially is supporting the Matroska format (I like this one especially).
It is also unofficially endorsed by On2, the makers of the VP series of codecs (VP3, VP6, VP7) as a reliable codec pack to use for decoding video.
Also recommended by a large number of anime fansubbing groups, this filter pack is a must to install into a fresh Windows copy.