That depends on the player plug-ins that you have installed for your platform.
Here’s a quick dump of the WmfMedia plug-in for Windows (see the block for ‘supported schemes’):
// supported file extensions
SupportedFileExtensions.Add(TEXT("3g2"));
SupportedFileExtensions.Add(TEXT("3gp"));
SupportedFileExtensions.Add(TEXT("3gp2"));
SupportedFileExtensions.Add(TEXT("3gpp"));
SupportedFileExtensions.Add(TEXT("aac"));
SupportedFileExtensions.Add(TEXT("adts"));
SupportedFileExtensions.Add(TEXT("asf"));
SupportedFileExtensions.Add(TEXT("avi"));
SupportedFileExtensions.Add(TEXT("m4a"));
SupportedFileExtensions.Add(TEXT("m4v"));
SupportedFileExtensions.Add(TEXT("mov"));
SupportedFileExtensions.Add(TEXT("mp3"));
SupportedFileExtensions.Add(TEXT("mp4"));
SupportedFileExtensions.Add(TEXT("sami"));
SupportedFileExtensions.Add(TEXT("smi"));
SupportedFileExtensions.Add(TEXT("wav"));
SupportedFileExtensions.Add(TEXT("wma"));
SupportedFileExtensions.Add(TEXT("wmv"));
// supported platforms
SupportedPlatforms.Add(TEXT("Windows"));
// supported schemes
SupportedUriSchemes.Add(TEXT("file"));
SupportedUriSchemes.Add(TEXT("http"));
SupportedUriSchemes.Add(TEXT("httpd"));
SupportedUriSchemes.Add(TEXT("https"));
SupportedUriSchemes.Add(TEXT("mms"));
SupportedUriSchemes.Add(TEXT("rtsp"));
SupportedUriSchemes.Add(TEXT("rtspt"));
SupportedUriSchemes.Add(TEXT("rtspu"));
And this is for VlcMedia on desktop platforms:
// supported file extensions
SupportedFileExtensions.Add(TEXT("3gp"));
SupportedFileExtensions.Add(TEXT("a52"));
SupportedFileExtensions.Add(TEXT("aac"));
SupportedFileExtensions.Add(TEXT("asf"));
SupportedFileExtensions.Add(TEXT("au"));
SupportedFileExtensions.Add(TEXT("avi"));
SupportedFileExtensions.Add(TEXT("dts"));
SupportedFileExtensions.Add(TEXT("dv"));
SupportedFileExtensions.Add(TEXT("flac"));
SupportedFileExtensions.Add(TEXT("flv"));
SupportedFileExtensions.Add(TEXT("mkv"));
SupportedFileExtensions.Add(TEXT("mka"));
SupportedFileExtensions.Add(TEXT("mov"));
SupportedFileExtensions.Add(TEXT("mp2"));
SupportedFileExtensions.Add(TEXT("mp3"));
SupportedFileExtensions.Add(TEXT("mp4"));
SupportedFileExtensions.Add(TEXT("mpg"));
SupportedFileExtensions.Add(TEXT("nsc"));
SupportedFileExtensions.Add(TEXT("nsv"));
SupportedFileExtensions.Add(TEXT("nut"));
SupportedFileExtensions.Add(TEXT("ogm"));
SupportedFileExtensions.Add(TEXT("ogg"));
SupportedFileExtensions.Add(TEXT("ra"));
SupportedFileExtensions.Add(TEXT("ram"));
SupportedFileExtensions.Add(TEXT("rm"));
SupportedFileExtensions.Add(TEXT("rmvb"));
SupportedFileExtensions.Add(TEXT("rv"));
SupportedFileExtensions.Add(TEXT("ts"));
SupportedFileExtensions.Add(TEXT("tac"));
SupportedFileExtensions.Add(TEXT("tta"));
SupportedFileExtensions.Add(TEXT("ty"));
SupportedFileExtensions.Add(TEXT("vid"));
SupportedFileExtensions.Add(TEXT("wav"));
SupportedFileExtensions.Add(TEXT("wmv"));
SupportedFileExtensions.Add(TEXT("xa"));
// supported platforms
SupportedPlatforms.Add(TEXT("Linux"));
SupportedPlatforms.Add(TEXT("Mac"));
SupportedPlatforms.Add(TEXT("Windows"));
SupportedPlatforms.Add(TEXT("WinRT"));
// supported schemes
SupportedUriSchemes.Add(TEXT("cdda"));
SupportedUriSchemes.Add(TEXT("file"));
SupportedUriSchemes.Add(TEXT("dvd"));
SupportedUriSchemes.Add(TEXT("ftp"));
SupportedUriSchemes.Add(TEXT("http"));
SupportedUriSchemes.Add(TEXT("https"));
SupportedUriSchemes.Add(TEXT("mms"));
SupportedUriSchemes.Add(TEXT("rtp"));
SupportedUriSchemes.Add(TEXT("rtsp"));
SupportedUriSchemes.Add(TEXT("sap"));
SupportedUriSchemes.Add(TEXT("screen"));
SupportedUriSchemes.Add(TEXT("vcd"));