CrystalPlayer is another great player (although it does not support playing DVDs) and also allows to seek ultra-fast (by keyframes).
One thing that keeps me hanging on to Crystal Player is just that. When continuing watching last night's movie, one can just hold down the right arrow key, let the keyframes rapidly fly by and pretty much get the "previously, in this movie" feeling.
It, like VLC, also supports playing broken avis, even without reconstructing the indices, but VLC has generally more success playing very problematic avis and thats why I'm forcing myself to get use to using VLC.
IMHO, VLC has a very crappy seeking. I still haven't found a better way to seek back 5 seconds than switching from full screen to windowed mode and carefully moving the seek slider one or two pixels back... and then switching back to full screen... and then, if I still don't see/hear that I wanted to see or hear, repeating the whole procedure all over again... It's terrible! In CP, it's just one touch of a left-arrow key!