please post the output of "mplayer -vo help" and the rest of the output from mplayer when you run it like you are. run it from a command line, just using mplayer, not gmplayer to get more useful debug information. the help output should list xv and x11 as possible outputs, you want to use xv ideally, failing that, x11.
if you compiled it from source, and have not installed any X -devel pakcages (on an rpm distro at least) then it will resort by default to the pretty useless mga_vid output, which is of no use to you. if this is the case, install the devel headers and recompile mplayer. if