MPC-HC, PotPlayer and Kmplayer are all portable AFAIK. They come with installers but once installed you have the option of storing settings in an .ini in the program folder and then you can copy that directory anywhere. I do this with PotPlayer which is my player of choice since its the next version of Kmplayer and has the best features and UI. And of course it doesn't need any extra codecs, even for DXVA hardware acceleration.

Info and latest update can always be found in this thread - http://forum.doom9.org/showthread.php?t=148745

Anyone have a Coolrar english version? Would like to try it out.

The media player used in XBMC is based off the same code ffmpeg (and thus ffdshow, Kmplayer etc) uses so the performance is pretty similar. As you found out, the builtin player has a great UI and all the features, there's really no need for an external player. There is also a project to use any DirectShow player in XBMC (dsplayer) if you really must use external codecs/players.

Are you using the Dharma build? Its still in beta but is stable and lots of new features compared to the released 9.11. Once you install Dharma (http://mirrors.xbmc.org/releases/win32/), go into the Addons section and get the Night skin. Its just amazing. And look at the plugins/skins on forum.xbmc.org, there is lots of good stuff there.

(sorry, I get excited when I talk about XBMC. I wasted a lot of time with other frontend's before I discovered it)