There is a lot of information in the Apple docs AVFoundation Programming Guide (look for the monitoring playback section). It appears to be mainly through KVO so you may wish to brush up on that if you are not too familiar (there is a guide for that to Key Value Observing ProgrammingGuide.
Yes, the AVPlayer class does not have a delegate protocol like the AVAudioPlayer. You need to subscribe to notifications on an AVPlayerItem. You can create an AVPlayerItem using the same URL that you would otherwise pass to -initWithURL: on AVPlayer.
-(void)startPlaybackForItemWithURL:(NSURL*)url {
// First create an AVPlayerItem
AVPlayerItem* playerItem = [AVPlayerItem playerItemWithURL:url];
// Subscribe to the AVPlayerItem's DidPlayToEndTime notification.
[[NSNotificationCenter defaultCenter] addObserver:self selector:@selector(itemDidFinishPlaying:) name:AVPlayerItemDidPlayToEndTimeNotification object:playerItem];
// Pass the AVPlayerItem to a new player
AVPlayer* player = [[[AVPlayer alloc] initWithPlayerItem:playerItem] autorelease];
// Begin playback
[player play]
}
-(void)itemDidFinishPlaying:(NSNotification *) notification {
// Will be called when AVPlayer finishes playing playerItem
}