I developed a patch to mplayer (http://lists.mplayerhq.hu/pipermail/mplayer-dev-eng/2007-March/050204.html in case you wanna try) so that mplayer now can play recursively nested asx lists synchronously, and it worked fine at
video.globo.com without any ill effects that I could detect in any other site.
Coupled with mplayerplug-in's feature delegating asx lists to mplayer that is in CVS, now mplayerplug-in is able to play all videos at
Therefore, I'm voting for the next version of mplayerplug-in (3.36) to keep delegating the processing of asx to mplayer.
Do gnome-mplayer and gecko-mediaplayer also delegate asx to mplayer? If so, I guess I could try them too.