The problem was in ~/.mplayer/gui.conf, there was a line
font_name = "/usr/share/mplayer/font/font.desc"
it should be of course
font_name = "/usr/local/share/mplayer/font/font.desc"
From the mplayer README:
STEP5: Installing the onscreen display fonts
Unpack the archive and choose one of the available font sizes. Then copy the
font files of the corresponding size into /usr/local/share/mplayer/font/ or
~/.mplayer/font/ (or whatever you set with './configure --datadir=DIR').
Since I did a plain ordinary
I guess it was not really my fault...