I tried mplayer, which I'd much prefer to use: no luck. But VLC will work, and is recommended somewhere here. Google it to find the site with free download. Then you need to hit "browser" at the bottom of your "Directories" in Preferences (hmmm ... that location is intuitive, isn't it) and insert the VLC application. Then it should work by option-clicking on the progress bar of the incomplete file that you wish to preview.
Why, I wonder, isn't this information easy to find, since ALL Mac users want to preview files. It took me months to realise that you have to do this. ?(