If you really want to play MPEG (non-MP4) or AVI in a web page, yes, you will need to embed a Media Player, with all the consequent codec, compatibility and stability problems that led people to using Flash video (and latterly HTML5) instead.
Non-Windows machines can play these files if they have suitable plugins and codecs installed, as long as you include a standard <object type="...">
, or old-school <embed>
tag inside the IE-specific <object classid="...">
ActiveX media player embedding.
However, yes, for viewer convenience most video-sharing sites do convert uploaded files into FLV, or—these days more likely—MP4 (which plays on recent Flash players as well as some HTML5 <video>
implementations), possibly with OGV or WebM as well (for HTML5 browsers that don't implement MP4 for licensing reasons).