Do you have a surround sound setup with a receiver, or just your TV? If you do not have a surround sound receiver then get the Live, if any of your MKV files have Dolby DTS audio, the WDTV Play cannot decode and play them, but the Live can.
There is not much out there relative to what the WDTV offers, there are other media players, but they are proprietary, geared towards streaming and is many cases more money, and its unclear yet if they are worth the money, in terms of reliability, stability and whether the companies making them will be around a year or two from now. I was a huge fan of the DLink Boxee Box but they dropped that over a year a go and left a void in the market. The way things are going, I don't know that we are going to see any new media players geared towards local content since everything seems to be going towards streaming, I hope I am wrong.