I have a first-generation WDTV, which was not designed for network access. I take it when I'm travelling, along with an 8 or 16GB flash drive, and plug it into the hotel's TV. It's pretty slick, though a bit underpowered. It does play HD content, but there are a few formats it's not very good at. The new model has network support.
In the house, I've been using a Mac Mini running Linux and MythTV as my media player for about 3 years. This lets me map multiple network storage devices from elsewhere in the house (movies, tv shows, adult content).
Lately, I've been playing around with WiiMC, a media player app for the Wii that will wirelessly connect to those same network storage arrays. The Mac Mini will move to the TV in the bedroom, and the Wii will be the media player in the living room.
Media players are great if you want to watch downloaded content on your TV without having to burn it to DVD first and you don't have a PS3 or XBOX to stream them out.