I cannot speak for the Prime, but these are what work well for mkv on the OG Transformer.
I have used MX Player, Rock Player and Dice Player.
The issue may be getting new codecs written for the Tegra 3 processor. I would think these developers would be working hard on it. You could try contacting them to see if they have an ETA if none of them work well for you.
I`ve been looking for some player too and MX Player rocks!
I downloaded Arm7 (plus Tegra 2) codec, plays 720p mkv in sw mode (with sound) or better in hw mode with sw encoded sound.
ASUS Eee Pad Transformer Prime has been released for some time. However, due to its limitation, Prime can only support achingly few formats: MPEG 4, H.263 and H.264. So if you intend to watch 1080p or 720p MKV movie on Transformer Prime, you need to convert MKV to Transformer Prime friendly format in advance. You can refer to the guide "How to add MKV to Transformer Prime?"