It depends on the player. Most older ones can only play MP3s off CD. There are some newer players that can play MP3, Divx, and MPEG 1-4 off DVD, CD, USB harddisk, USB thumbdrive and memory cards. There are even some 'Hong Kong special' DVD players that can do all that, and play Nintendo roms off CD.
Check out eBay's portable or car DVD player section. Be sure to check the shipping cost before bidding, as a good number of the 'Hong Kong special' DVD players that I mentioned are being shipped directly from Hong Kong, which is quite expensive.