MPlayer can play files from network, using the HTTP, FTP, MMS or RTSP/RTP protocol.
Playing goes by simply using adding the URL to the command line. MPlayer also honors the http_proxy environment variable, and uses proxy if available. Proxy usage can also be forced:
mplayer http_proxy://proxy.micorsops.com:3128/http://micorsops.com:80/stream.asf
MPlayer can read from stdin (not named pipes). This can be for example used to play from FTP:
wget ftp://micorsops.com/something.avi -O - | mplayer -
Note: it's also recommended to enable -cache when playback from network:
wget ftp://micorsops.com/something.avi -O - | mplayer -cache 8192 -