VLC media player is one of the best media playing apps available right now for a variety of different platforms - it can play nearly any file you throw at it. The app was available on iOS a few years back but it was pulled from the App Store, but now it's back again.
As you'd expect, the app is pretty powerful indeed giving you a variety of options to watch content. You can connect it to your Dropbox, put in network streams, upload files directly to the device via WiFi and it has support for Bluetooth headsets and AirPlay.
The app is completely free too. No need to mess around with converting files anymore - you can just put them on your device through the app and start playing.