It's possible to play all of those things perfectly legally on Ubuntu. I suppose MP3 is the one most people will need. Luckily, a nice company called Fluendo have partnered with Ubuntu to provide free and legal MP3 decoders for all Ubuntu users. It's been a while since I did a fresh install but I believe Ubuntu offers to install these automatically when you first try to play an MP3 with RhythmBox or Totem.
DVD and WMA are more complicated and, yuck, who uses WMA anyway? But, again, Fluendo offer a fully licensed DVD Player for Linux for a pretty reasonable €20. They also offer fully licensed codecs for other formats like WMA, etc.
And all of this will soon be a moot point as some of the MP3 patents have expired already and the remaining ones should be expiring pretty much everywhere in the next couple of years.