The BBC also has its own player - if you have problems with it it advises to switch to the Real player.
Windows Media Player can also be used, but I've found that despite the problems of RealOne configuration (you have to make sure that it does what YOU want it to do), it brings in a very steady stream even with several browser windows open. That's on dialup...:-)
The latest version of Real, 10, requires you to basically agree to pay for it and to cancel within 14 days if you don't want the Gold version, keeping the basic free option instead.
Too many opportunities for unwanted payments I felt, so I've stuck with RealOne.