I was facing similar problems as most video players on iOS don't support mkv format. Then i came across an app called PlayerXtreme media player which i downloaded and played an mkv file in it. To my delight, it played without a hitch as did all the other files that i played with the app. This app is really useful as it supports all file formats and saves me the agony of file conversion.
I never heard of that PlayerXtreme app. It looks nice and feature wise it has a lot to offer as well. What features are for the Pro users (4.99 dollar once)? It does seem to lack a few feature (e.g. opensubtitles.org support which Infuse has) that e.g. nPlayer and Infuse offer but they are also more expensive and depending on the usage it might be great for some.