VLC, Mplayer, Totem, Xine, and a few others.
Take your pick.
I mostly use VLC (plus there is a popular windows and OS X versions, too.) for everything. I use Xine (not the gxine, or gnome xine. xine-ui) for playing DVD's.
Mplayer is nice, and you run it from the command line. They have a GUI version, but it's crap. It's for highest quality output, but it has it's stability issues and difficult to use.
However using mencoder (encoder for mplayer's decoder) and libavcodec you can make rips that put the best I've seen using Divx to shame (you can use divx or xvid if you realy want, but libavcodec is faster and higher quality). Only realy for 'experts' though.
Most distros have a win32-codec package or whatnot for playing files that have only windows versions. It's only realy aviable from third party because of the legal gray area.
Also another legally gray is the libdvdcss decoders for playing encrypted DVDs. Some distros include it by default, others you have to look for it. Same thing with mp3s... But it shouldn't be difficult to find everything you need.