Just a few reminders. One, Windows Media Player is only included in the US. (Thanks to a EU ruling)
Second, it wasn't always the case. Not all of you are probably old enough to remember, but the original Media Player did not play anything but WAV files. If you wanted more, you had to *buy* (at the time) either RealMedia Player or QuickTime (or both). Only later did they become free (and the best player... VLC came much later).
I know it is a little weird coming from a Microsoft centric world to expect everybody to use Microsoft "standards" but they don't. That is why open standards like MPEG-4 and H.264 are supported out of the box, but WMV isn't.
If enough people want it... in time... I would wager that there will be more than one player that can support it and eventually one of them may very well be free (like if VLC gets ported, which isn't a far stretch since, it is open source and there is already a Linux version). Being an early adopter *costs* (just think by this time next year, the Droid will probably be $99) and if you want it NOW you have to be willing to pay for it... otherwise... wait... it will come.