In an old project, I ended up writing my own. And working with WordPress library to feed the players (audio and video), so there’s no foreign UI and a template builds the player with the proper attachment info.
The audio player was implemented with JPlayer.
The jQuery HTML5 Audio / Video Library
jPlayer is the completely free and open source (GPL/MIT) media library written in JavaScript. A jQuery plugin, jPlayer allows you to rapidly weave cross platform audio and video into your web pages. jPlayer’s comprehensive API allows you to create innovative media solutions while support and encouragement is provided by jPlayer’s active and growing community.
If my memory serves me well, I think I had to use another library to the video due to some playlist issues.
And that was done with this premium player: HTML5 Video Player with Playlist. They have a WordPress plugin version, but I needed something very customized, so built my plugin with the Html5 code.