Last I read (a couple of weeks ago) MPlayer was still a bit buggy. Another player to try is VLC: http://www.videolan.org/vlc/ (choose the closest mirror site.) VLC will play everything except the odd wmv file. MPlayer is similar/equivalent. I have both but predominantly use VLC.

Sounds to me you might be playing wmv/asf files. mpeg/mpg/avi/avi-divx are much better formats to aim for on the mac. Particularly if you wanted to burn them!