Many image editors will save thumbnail icons, but the Finder has no capability to do so. I don't know of a way to make videos have thumbnail icons, short of doing it manually for each one. (You can set file icons in the Finder's get info window; select the icon by clicking on it or tabbing to it and then paste whatever image you like. It will even scale it down to fit)
QuickTime plays everything for me, except ogm, mkv and the occasional ASP mp4. VLC can do the same, except it plays those types and not WMV3 (though that apparently is coming soon) or Indeo (QT plays indeo in classic). I'm afraid you won't get a more useful response until you say what exactly is your objection to either of those options.