Depends on the kind of video, of course, and your system. I don't think it'd ever be really practical, but there's that "wow" factor. It's great to show to friends now and then.
On a similar note, check out Backlight, and app that lets you run any OS X screensaver as a desktop background. Totally awesome.
MPlayer also has the option to make its player window at the desktop background level. It's a little quirky, though.