There are various forms of mpeg4, divx and lavc among them. Mplayer (on the gp2x) and the ffplay (from ffmpeg and also on the gp2x) both support many mpeg4 implementations.
If you downloaded them from iTunes then you might not be able to play them directly on the GP2X. iTunes uses some sort of DRM for their video and audio (most audio anyway). You might be able to convert the iTunes videos to avi and then play them on the GP2X.
itunes use .mp4 contener and Apple H264 video codec and DRM protection. This video can't be read on GP2x because of the DRM and the H264 codec is too heavy for the GP2x to be read without framedrop.