pip install youtube-dl
ffmpeg 1.2 branch is available inside Cygwin Ports. Not the 2.1 branch. The 1.2 branch is adequate.
apt-cyg-main install binutils
apt-cyg-main install pkg-config
apt-cyg-main install gcc-core
apt-cyg-main install make
apt-cyg-main install git
apt-cyg-main install texinfo
apt-cyg-main install bc
apt-cyg-main install diffutils
apt-cyg-main install yasm
apt-cyg-main install libopenjpeg1
apt-cyg-main install libfribidi0
apt-cyg-main install libgstinterfaces1.0_0
apt-cyg-main install libgstreamer1.0_0
apt-cyg-main install libgtk2.0_0
apt-cyg-main install libilmbase7
apt-cyg-main install libIlmImf7
apt-cyg-main install libopenal1
apt-cyg-main install libpulse-simple0
apt-cyg-main install libpulse0
apt-cyg-port install ffmpeg
ffmpeg
apt-cyg-main install libgif4
apt-cyg-main install libmng1
apt-cyg-main install libdv4
apt-cyg-port install mplayer
update-mime-database -n /usr/share/mime # because this command didn't run at the end of etc/postinstall/mplayer.sh.done
startxwin $(which mplayer) videofile
If it's just music:
mplayer file.mp3