The free software projects for media playing did a good job in the past on supporting a wide variety of formats. From the common to many very obscure formats, current versions of the free software mediaplayers were usually able to play them. Today it's even common to suggest vlc for Windows users if they can't play unusual media formats.

Though there were a few exceptions, the most notable probably the long-time missing support for many of the Real formats. While these are rarely used today, many archived videos in the Internet still rely on it. For example, many german television stations provide real video files on their webpages.

Recently and without much public notion, ffmpeg first got support for RV40, some weeks later also for RV30. This fills a long time gap in free software support for video formats. ffmpeg is used by all major free software video players (vlc, xine, mplayer), so you should get the support within some time in all of them. For now, it's quite easy to checkout mplayer from subversion and build it on your own.

Want something to try out? Here's a video from Desert Planet in real format.

The only gap I know of a format that really got usage in the wild and that is not yet supported by free software is WMA3.