MPlayer can play files from the network, using the HTTP, FTP, MMS or RTSP/RTP protocol.
Playing works simply by passing the URL on the command line. MPlayer honors the http_proxy environment variable, using a proxy if available. Proxies can also be forced:
mplayer http_proxy://proxy.micorsops.com:3128/http://micorsops.com:80/stream.asf
MPlayer can read from stdin (not named pipes). This can for example be used to play from FTP:
wget ftp://micorsops.com/something.avi -O - | mplayer -
It's also recommended to enable -cache when playing from the network:
wget ftp://micorsops.com/something.avi -O - | mplayer -cache 8192 -