Some videos have no sound in them.
Some videos have the sound encoded in a way your phone does not know (this should generate an error message).
Some videos have the sound turned down way too low (way too high being the more common).
Which version of android are you running?
Which carrier?
Where are you getting the videos from?
Which video viewer app are you using?
The VLC app tends to be really good at playing the less common formats.