Whoever told you it would only play copy-protected had no clue whatsoever of what they were talking about.
It is not a question of can the OS play it, it is a question of can the software play it.
By Default the software that comes with the Mac OS(Itunes/Quicktime) will play a fair variety, MP3, WAV, AAC etc. It can also play the copy protected files from ITunes, but not copy protected files with MS DRM or really anyone elses. Just Apple's DRM.
You can also very easily install MPlayer or VLC that will allow you to play... well just about anything that is not copy protected. Even WMV3 is not supported(Though not perfect it does play decently enough in VLC). These are completely seperate for t he OS, though there are versions availiable for the Mac OS. They started on Linux and are also availiable on Windows as well I believe(Not sure on MPlayer, VLC is though)