You can play any open standard audio and video out of the box. This includes the latest Xiph formats vorbis audio and theora video as well as CD quality flacc.
The utility ffmpeg2theora converts most formats to these.
sudo apt-get install ffmpeg2theora
You'll find that firefox is also a theora player, and the format is compatible with html5.
If you still want to play restricted formats, and for other tips, see the umuntu guide.