The Apple Composite AV Cable or Apple Component AV Cable will work through your DVD player input jacks or even your TV input jacks.
Try to make sure that there is power nearby. I used to be able to watch videos running from the battery on the iPhone. However with the latest software upgrade, one of the battery saving "features" is that after a minute or so with the USB plug not connected, the video signal cuts out. The continues to run, but without the video.
I hope Apple fixes this because I just realized that it makes it really difficult to use in a vehicle with composite jacks into the entertainment system. Apple, if you want this as a battery saving feature, make it an option in settings. I need to turn it off so the kids in the back can watch videos for a couple hours in the back and then I can recharge when we get to the stop or hotel with the laptop or wall charger.