Since the Ubuntu release 11.04 you have the possibility to install third-party software during the Ubuntu set-up. If you select the "Install this third-party software", two things will happen:
Thus you will be able to play mp3's, avi's, mp4's etc. and watch flash videos (for example YouTube videos) right after the Ubuntu installation. To do so, you have to be connected to the Internet. Furthermore it is advisable to only choose the option if you have a "fast" connection, otherwise it will unnecessarily lengthen your installation.