I've been playing around & have found that if you turn on "Start in fullscreen" in the preferences, mplayer will always use it's fullscreen mode on every loop of the file it's playing thus giving a smooth transition between loops.
There are a few small issues though, but easily worked around.
The main one is that if I use the xv video driver the image is fullscreen but with some movies the screen is blanked between loops, yet if I <ALT> TAB it springs back to life. (mpegs mostly but not asf's, very strange) But, if I use the x11 driver, the image stays at it's original size & the rest of the screen is just blanked out, much better. I have found though that the first loop through the movie is played in the centre of the screen but for the rest of the loops it go's to the top left corner, but no big deal.
One more thing, maybe you know this, maybe you don't, but you can put options like looping into $HOME/.mplayer/config Like this: