You shouldn't need to use sudo to run omxplayer. Sudo is for when you need elevated permissions, such as changing or editing system files, etc.
Also, if you don't enjoy typing file paths, but would still like to use omxplayer to play video, try following the steps shown here:
http://jeffhoogland.blogspot.com.au/201 ... a-gui.html
These steps will allow you to launch omxplayer automatically when you double-click on a video.
Incidentally, did you know that omxplayer can play videos from the text-based console you see before you type "startx" to get the gui?