What matters is not what OS the media originated on, but what file format it was saved in (*.avi, *.mp4, *.wmv, *.mp3, *.ogg, *.ogv, and so on).
The only ones of those that sometimes present problems are the Windows media formats, because, at one time, Microsoft made strong efforts to keep them from playing on anything but Windows Media Player (with every "upgrade" to WMP, Microsoft would tweak the codec to break cross-platform compatibility), but, lately, MS seems to have given up that fight. VLC has played every Windows media format file I've thrown at it for the past two years.
The only format that still gives major problems are the Real media formats; for a long while, Real supported a Windows version of RealPlayer (a spin of the Linux Helix Media Player which was much better behaved than the Windows version), but they no longer support it. Older versions in RPM format and sources are available from the Helix website