I do.
Since I found it, I've not used anything else.
Deciding between VLC or KMplayer is kinda a personal choice thing...they both do the same things very well.
Mainly, I like the ability to play and save some pjsdhfsdhfdf no-extension file cached from a streaming website. If it can recognize the format, it'll play it no matter what the name is.
I regularly save FLV content from like YT, MV, etc. using it.
Paired with
Clipnabber, it's rather awesome.

Same with DivX. I just pause the player, let it buffer, and watch it directly from the temp folder. Why deal with $hitty web-based Flash and DivX players when you can have total control?
Plus, I can adjust synch errors and even things like contrast and brightness with a keystroke. Save vidcaps, save clips, it'll even play those oddball .rmvb files providing you have the codecs.

Oh, and it can stream video by URL, do 'net radio and has modest playlist support too.
Basically, it'll play almost anything right out of the box with it's built-in codecs. Some things like the H.263/H.264, the .rmvb and a couple of weird old WMA/WMV codecs I had to download, but that isn't a big deal.
IDK why, but some older reviews say KM doesn't have good keystroke support...funny because I almost never even use the mouse with mine.
-CaFF