This HTML5 player framework has support playlists using an array of media items or a link to a RSS feed. You have options to add captions using W3C time text (TTML) and the player provides controls like volum, mute, fullscreen or poster-displaying. The HTML5 player can be easily customized (look and feel) using CSS. There is also a great documentation page that can be found here.
HTML5/Silverlight/Windows Phone video player: Preview