So, if you're like me you get a new series and start watching it.
The next day you don't really remember if you are on episode 8 or 9. So you have to open episode 8 scan through and see if you've seen it or not.
Or you keep a notepad document open and mark off the last episode you watched.
No longer!!
Now I use XBMC (a big front end media center that's cross platform).
Inside it, you navigate to your anime folder:

(It has a long filename so it gets cut off. The gui supports scrolling though. Also you can set up NFS or SMB/Windows shares to view as well as Tversity, Upnp, etc.)
You'll see the little check box beside all the anime you've already watched. Plus it has resume features and more.
If you only like to use a particular player, you can set up rules to have it launch that external player for certain filetypes (so you can play your blueray rips in coreavc to take advantage of GPU processing, etc.)
Best of all, it has built in Windows MCE remote configuration so out of the box you can use your Windows MCE remote (plus program others with the help of Event Ghost).
Really, the reason I like it, is because it plays everything out of the box, it integrate with my remote, I can remotely choose "Shutdown" and it will turn off my computer through its GUI, and it keeps track of which episodes I watched.
Boxee is a branch of its source if you've heard of them.
www.xbmc.org -> Windows (installer or portable), Mac, Linux, Live CD Distro (for HTPC's ), Apple Tv