I can't play an episode of planet earth (.mkv, 4.4gb) on my one month old penryn 2.5ghz mbp w/ 4 gigs of ram without it freezing. is there something wrong with my ram or my processor? 
time to run some diagnostics:
run memtest:
http://www.versiontracker.com/dyn/moreinfo/macosx/17156
Ideally, run it from Terminal, running 2 copies, each testing half the memory (to stress both processors). If you don't know how to do that, d/l and run Rember (if you make a copy of it, you can run both copies at once).
Rember is built on top of memtest.
memtest is a much tougher memory test than anything else (esp. better than Apple's hardware test).
I have Leopard, and the memtest site doesn't say it supports it. Are there any alternatives?
... .
What app are you using to play it? VLC or Quicktime with Perian?