Links in Emacs org mode allow arbitrary emacs-lisp execution.
As a result, we can run any shell command, such as your favorite movie player:

[[elisp:(async-shell-command "mplayer /tmp/lecture.mp4")][linktitle]]

Arguments work too. e.g. play the movie from a particular position.
This can come in handy when learning materials contain valuable information scattered throughout movies:

[[elisp:(async-shell-command "mplayer /tmp/lecture.mp4 -ss 00:05:10")][othertitle]]