It appears that some of the screencasts I am interested in, are recorded in WMV9 format. I do not remember noticing this on Linux, but when I switched to OS X, I could not play them anymore.
I tried various options I was used to, but neither VLC nor MPlayer OSX worked sufficiently nice. Then I found Flip4Mac which allows to play WMV files with QuickTime. No complaints so far, works like a charme.