Plex Media Server is one component of streaming your own media to your devices. The second component are the apps you install on your devices.
The Plex apps are used to connect to a Plex server to stream the media to your device. Plex supports most common devices available today, so you will be hard-pressed to find a device that doesn't have a Plex app.
Plex currently has apps for the following devices and operating systems: