VoiceWalker

VoiceWalker will help you transcribe audio or video files. The basic idea behind this application is that it will play audio files, just like any other audio player, but it will let you configure time segments and a specified number of repetitions.

This way, you will be listening to the same audio segment several times, which will give you enough time to transcribe it. In addition, the program will overlap the segments for you not to lose track of the transcription.
The first step, of course, consists on opening the audio file. In this respect, although the open file dialog box seems to support only WAV, this application supports MP3 and AVI files, as well. Although you can use VoiceWalker to listen to the whole audio, the real difference lies on the first four toolbar buttons. They will let you decide on looping the file or moving to a definite segment. Furthermore, you can adjust the looping by adjusting the timing.
Even though the interface is very simple, perhaps, you will need a little help before you can start using this application. Nevertheless, once you have used it successfully once, you will not find any difficulty from then on.