All in all, playback is about the same on both platforms. The only thing that will ever give you trouble, really, is the oddball weird-encoded WMV file you may run across (but WMV sucks anyway).
Install Perian on OS X and any Quicktime-enabled player will play just about anything you throw at it (short of OGMs, but they're obsolete and can be changed to MKVs anyway).
This will actually improve some with Snow Leopard and Quicktime X, since it will be able to play DivX without any additional installations. It will also take advantage of the H.264 hardware decoding that most Macs are capable of now.