Video program and format?

This is a two-part question.

1) Should I replace Windows Video Player with another like VLC media player 2.1.3
and, if so, why?

2) Which is the best and/or smallest video format?

I DL and UL videos off the net....

Any assist would be helpful...

 

1. I always use VLC a) because it doesn't spy on me or have services running in the background and b) it includes all the codecs so I don't have to run around trying to figure out what codec is missing when a video refuses to play.

 

Thank you plodr, very helpful.