As far as I know, only the DVC rooms/villas and the suites have DVD players. The resorts don't have players to lend out.
Oh....duh...here I am thinking you're talking about Disney resorts, and we're on the Community board. You mean hotels in general, right?
It really depends on the hotel, but I don't think they're very common. As fly girl says, they want you to buy the pay-per-view movies.