Well, the thing is that MKV is a container format. It's not a standard codec system like Divx or Xvid, but a bunch of seperate files in one file. (Hence the name container format). An mkv can have various different files and codecs in it.
VLC recognizes practically any codec the MKV container might have, but it's been very difficult for other programs and standalone products to have the same support. Most of them can play Xvid, Divx (4,5 or even 3) and MP4. They usually try to analyse the MKV if there's a suitable codec in it.
If you want to ensure maximum compatibility i think your best bet may be divx 3, since almost any standalone player these days can at least play that. The quality might be very poor though.
If you want more information regarding the MKV format please visit www.matroska.org