The only annoying thing Im finding with Vista is the fact that Windows Media Player often needs to be "End Task"ed in Task Manager as it sometimes doesn't shut down properly and ends up running in the background. Not a major issue, but when you come to launch a new piece of media, it wont open.
I think that's been a bug since XP. I always had that problem in XP.
Not sure about in Vista for me though, I use Media Player Classic & Vista Codec Pack (ffdshow)