Dude, I think you have a defective Dogma. I have an old Sony DVD player from '99 and my copy of Dogma (the collector's one, not the barebone DVD) works just fine with it. Unless it happens to more than this DVD, i think its just the movie itself. You should also check out The PlayStation 2/Xbox DVD Compatibility List at IGN's website even though it hasnt been updated since late last year, its still a good read.
