That totally depends on the player. A brand new low end model may not play much besides standard movies and maybe pics or mp3's on CD-R's. You have take a close look at the supported media formats of each player.
I had a very old player and a new cheapo player but neither would play the formats I wanted so I bought a player that played just about every format. You might also want to check on file format support. Do you want to play other movie, image and audio files besides DVD's? (divx, jpg, wma, mp3, etc-)