I tried rock player.
Yes, it can play any video format like MGEG, MP4. But, if the file being played is of High resolution; it doesn't play well. (May be the CPU is not powerful or the player's code is not optimized).
Solution:
1. Use a video converter (e.g. Xilisoft Video converter)
2. Convert to Iphone video format (Codec: H.264, Video size : 480 X 320)
Now, the video will play smoothly and with acceptable quality. Hope this helps!