Yes, it's pretty easy to embed a JMF player in a Swing app, but JMF hasn't been updated in years, and doesn't support all the latest formats. QuickTime4Java supports a few more, if you can limit yourself to OS X and Windows machines (that happen to have QuickTime installed). Check the OtherOpenSourceProjectsFaq page for more options.
Because those who mind don't matter and those who matter don't mind - Seuss. Tiny ad: