Every DVD player is NOT the same, or there would be no reason to have anything but the $40 walmart ones. There are any number of factors that contribute to the differences, but the most glaringly obvious would be that the capabilities of the video decoding is of significance and can greatly affect the picture quality. Then there is also the progressive scan aspect, which the Xbox is not capable of (unmodified), which adds an additional dimension to the picture equation.
My recommendation is to ask specifically what people might recommend in the price range you have in mind. If you don't have an HD capable TV, then I'd say stick with your Xbox for now. If you do have an HD capable TV, then I'd be looking for a decent progressive scan player.