Although most media formats can be played straight from a fresh install, some won't play by default due to Ubuntu's Restricted Formats policy. Ubuntu justify this position thus: "Ubuntu's commitment to only include completely free software by default means that proprietary media formats are not configured 'out of the box'.".
While this is Ubuntu's position, other distributions such as (the Ubuntu-based) Linux Mint do play such files - for instance .mp4 videos - without need for further configuration.
Fortunately it's not hard to get the codecs into Ubuntu. Open a terminal and type the following command:
sudo apt-get install xine-ui
Double clicking on MP4 files now opens the Totem Movie Player (2.2.81) which seems to do the job nicely - no joke..