Yes, yours is a pretty common request.
With a DVD-Video, or BD, it's easy: in Encore just add an End Action, that points back to the Timeline - infinite looping.
Also, most DVD and BD hardware players allow for Repeat.
When one gets outside the realm of DVD-Video and BD, then it comes down to the software player used. Many DO have a Repeat, or Loop function, but not all. So, it will just depend.
For a bit of backstory, you might find a few bits in this article useful, as I know that you primarily work in broadcast: http://forums.adobe.com/message/2298534#2298534. You are well past most of this now, but should you get a similar job, might be a tip worth having?
Good luck,
Hunt