Quicktime Player – A lot of people have QuickTime, and you can step frame by frame with the left and right arrow keys. Also supports embedding directly into HTML pages, which is very handy.
Windows Media Player – If you don’t have QuickTime, you probably have Windows Media Player. To enable speed controls and frame-by-frame analysis, open the “View” menu (in Skinned mode, right click on the title bar), go to “Enhancements”, and select “Play Speed Settings”. A small tool area will appear under the video, where you can change the playback speed. Beneath that slider, are buttons to step back and forth frame by frame.