As others said, you can play media off external storage, e.g., microSD card, USB stick, camera or your phone in 'storage' mode. MP3, MP4 and JPEG work; WMA/WMV do not. I don't know if there's a list of currently supported formats somewhere.
I found this on the Google site... Supported file types and supported external devices...
Supported filetypes and filesystems - Chrome OS Help