Let me tell you about two portable media player software for your USB Pen Drive that you can carry around along with your media collection.

VLC Portable Media Player

Quite bulky at around 16 MB, but it can play literally every format you send in. Contrary to the big size, it consumes far less resources than you can imagine.

It's an open source player, and it's the right choice for your media collection since it supports most formats you send in.

Download VLC Media Player Portable

MPlayer Portable Media Player

MPlayer is a portable media player software that's known for its video playing capabilities. Supports a wide range of formats that includes Ogg, WMA, FLV and tens more!

The size it occupies is just around 7.5 MB, that's a plus for MPlayer.

Download MPlayer

Winamp Lite

You're a Winamp addict, or a fanboy and can't live without it when you're playing music. There's a portable version of Winamp player called Winamp Lite available for your thumb drive.

The Portable Installation Process is a bit complicated, so make sure you do the right things by checking the guide over here.
Download Winamp Lite