There is an in-development Video Source plugin here on the forums. It works well. Go to the plugins forum and the in-development subforum, should be near the top of the page.
Natively, OBS does not support playing videos directly. Prior to the plugin, the traditional way was to keep a copy of MPC/VLC running as its own scene with a Window Capture, switch to it and then manually start the player.
The plugin is better. Can set it to play once, play a list of videos, loop, or a bit of both. When it ends, it'll make the layer invisible so you can have a 'still shot' until you're ready to swap to another scene. Great for intros. But yeah. Install the Video Source plugin.