You have to give them credit where it's due: RealPlayer 10 displays progressive jpegs without a hitch. Still doesn't play Ogg Vorbis audio though.
The question now is - do we expect everyone to upgrade, or do we still have to spend too much time sorting out suitable images.
I've added a bunch of songs to my SMIL playlist, and a few of the images have turned out to be progressive. I think I'll leave them there, and anyone who hsn't upgraded will just have to click through the error to the next track.