You might not notice any difference at all, depending on the age of your system and video formats used.
GPUs allow the use of hardware accelerated video decoding.
The task of decoding modern h.264 and h.265 video is actually quite demanding and not long ago was simply far too demanding for a CPU to do alone.
At 4K resolutions I believe the CPU may still not be powerful enough and may actually require at least some dedicated hardware to do the decoding. I have neither any 4K content nor a 4K display to test.
Hardware accelerated video decoding, such as via Nvidia Purevideo, requires driver and software support. VLC or whatever player you are using can query the driver to ask format support and what level of video decoding is available. If the requisite support is available then the video stream can simply be passed to the graphics card for processing and display and can bypass the CPU almost entirely.
Nvidia, AND and Intel all have their own video decoder cores. For AMD and Nvidia it is built into their dedicated GPUs, Intel has integrated it into their CPU integrated graphics cores. I would also expect it to be available via AMDs "APU" units as they are effectively a CPU with integrated AMD graphics.
Assuming you have an integrated graphics solution made in the last 3 to 5 years I would expect it to be capable of decoding up to 4K video for you as long as it is in h.264 video format. h.265 might depend on how old your graphics is and is relatively new.