The attraction of the DivX plugin is mostly its wide compatibility. Now that Quicktime has native support for MPEG4, it's available on most platforms including Linux and (I think) BeOS. It's also widely available in newer DVD players. Meaning that you can burn a CD or DVD with the DivX video on it and watch it on your set-top w/out a computer, or having to recompress the video for DVD. Windows Media basically only allows Windows users to watch your video (though some really good solutions for the Mac are now available), but DivX makes it pretty much available to everyone. Personally I prefer the quality/filesize results I get from divx codec, over WMV. It just looks better.
This is the same reason so many people (including myself) prefer Quicktime as well. It means anyone on a Windows box or a Mac can watch it, rather than just one or the other. And with support for the h.264 codec you get great looking video with even smaller filesize. If you're having problems with divx video in WMP, you might try VLC media player. I haven't used it in a while, but many people really like it. http://www.videolan.org/vlc/
This is a good topic, something a lot of people either don't understand, or could definitely learn more about (including myself). I'm interested to see other people's replys.