Possibly, the videos on the other sites are still compatible with the plug-in (media player) you have on your machine. There's the chance you need an updated plug-in for some. (There's also the chance the videos just aren't working correctly. I've had that from time to time on YouTube, for example.)
Whichever media player you have, you may want to check to see if there are updates available for it.
(I'm just guessing, though. The problem could be anything, I suppose.)