Both the K-Lite codec pack and the Combined Community Codec Pack (the support is undocumented, but it is there) have support for VP8 and WebM. Just make sure you aren't installing a big pile of codec packs on top of each other to prevent interference.
If you do not feel like installing codec packs and want to instead install the individual pieces, having the latest SVN version of ffdshow-tryout and the Haali Media Splitter is sufficient. Alternatively, you can install the latest DirectShow filters from the WebM project and an appropriate Vorbis audio filter.
Mac OS X
You'll need the latest version (Revision 14) of MPlayer OS X Extended. Earlier revisions will not work. This means you'll need at least to have Mac OS X 10.5 (Leopard). Also, you will have to select "all files" when you open the file via the dialog box.
The latest version of the Perian plugins will allow you to play VP8/WebM files in Quicktime as well.
Your best choice would be a build of mplayer from their SVN repositories. Please consult your distribution's documentation on the best way to get this.
If all else fails
The latest version of VLC Media Player has support for VP8/WebM files.