If you have an even slightly modern graphics card, make sure you've got XV support in X, and always use -vo xv. Best done by editing ~/.mplayer/config and writing "vo=xv" in it. Depending on your circumstances, -vo dga or -vo gl might be preferable.
To tell how much of CPU usage is due to decoding video and sound, try "mplayer divxfile.avi -vo null". I'm sure what you'll find is that the overhead is tiny - in theory a p300 could probably play most high resolution divx movies. The real issue is how efficient your display and scaling mechanisms are.