Youtube can provide videos encoded on several formats like h263 (flashvideo), h264, etc. Which format are you downloading? (this site also has good information of youtube audio/video formats)
Use a tool to verify the file's header and make sure that what you downloaded is ok! If you are on *nix you can execute file on the command line: file filename.flv
Another possibility is that you may not have the codec needed to play the video. This could explain why no video player on your system is able to play the video you downloaded.