To play Ogg Theora videos you need a video player that supports Ogg Theora playback. Often to playback some types of video you need to install obscure software which can be very frustrating and time consuming. Fortunately, several video players can play Ogg Theora without the need to install anything else. The two easiest players to use are notable because they work the same across all of the major Operating Sytems (GNU/Linux, Mac OS X, Windows).
VLC is a free software video player that plays many different types of video files, including Theora. You can get it here online at http://www.videolan.org/vlc
Miro is another video player that supports Ogg Theora video (http://getmiro.com).
MPlayer is another free software player that supports Ogg Theora video (http://www.mplayerhq.hu/).
As a rule of thumb, if the video is on your desktop, use VLC, MPlayer or Miro. If the video is already on the web, use Firefox 3.5 or later.
If you want to use Theora with other softwares such as Windows Media Player or QuickTime Player, you need to install components or filters that will enhance the functionality of Theora. This doesn't apply to you if you use GNU/Linux, since Theora is natively supported in most distributions and plays with Totem and other GStreamer based applications.
For Windows and Mac OS X you can add full functionality and support of Theora to all QuickTime based applications, such as the QuickTime player itself, but also iTunes or iMovie. All you need to do is install the Xiph QuickTime Components (XiphQT) that can be downloaded from the Xiph.Org Website: http://xiph.org/quicktime/download.htm
The other useful filter a Windows user might be interested in is the Directshow Filter. It is also offered from the Xiph.Org Foundation and adds encoding and decoding support for Ogg Vorbis, Speex, Theora and FLAC for any Directshow application, such as Windows Media Player. You can also download the filters from the Xiph.Org Website: http://xiph.org/dshow/