Yes, if you want to set it globally, in the file /etc/mplayer/mplayer.conf add a line, for example:
Code:
font=/etc/mplayer/subfont.ttf
Then copy the font you want to use to that location, for example:
Code:
cp /usr/share/fonts/msttcorefonts/verdana.ttf /etc/mplayer/subfont.ttf