Although the basic QuickTime Player is included with every Mac and free to download for Windows, it is somewhat crippled unless you purchase the "Pro" version. By going Pro, you gain several handy features related to saving and editing movies as well as full screen playback. Note that the Pro version usually has to be re-purchased for each "major" version of QuickTime - for example, 6, 7, and 8 when it comes out.
Many websites use QuickTime to play their movies; Pro gives you the ability to save any of these to your local computer by simply clicking on the bottom right corner popup menu and choosing "Save as QuickTime Movie..." It also becomes possible to edit movie clips in the player. You can now copy, cut, and paste sections of movies together to remove unwanted portions from existing movies or make brand new ones from scratch. For the photography buffs out there, you now have the ability to create a new QuickTime movie from a batch of time lapse photographs using the "Open Image Sequence..." command. In addition, recording movies and sound directly in QuickTime Player, and saving in formats optimized for iPod or Apple TV (H.264) is also enabled.
Possibly the feature you'll use the most in QuickTime Pro is the fullscreen movie watching - just press ⌘ (command) F to enter full screen mode complete with movie controls which appear when you move the mouse. For a full list of features, visit the QuickTime Pro web site.