I used to have WMA support when I first got my HTC Desire Z, and from the looks of things on the net, HTC Sense provides (/provided?) WMA support itself - explaining the lack of love for the format on the Nexus One. I have since rooted and lost this on Cyanogenmod, first with the system failing to read Artist tags but still playing in the stock player, and now failing to play at all.
I would suggest PowerAmp as a temporary workaround as this does recognise WMAs and is, generally, quite a good player. I didn't fancy paying after the free trial, however, so have started re-ripping my music into MP3 format.
The Android library will not index WMA files, but any app that builds its own library of tracks should suffice (Museek used to, before becoming JukeFox).