In the states right now, you can buy some films from Disney and some of its owned companies, through the iTunes Music Store. I'd strongly suggest you don't however (even if you did live in the USA, of course), since they're iPod-only (DRM).
But, they can play any video you like, provided you convert them to iPod format. If you have a mac, there's an app called Handbrake that does this well. There are other similar apps for windows too. You can rip a DVD onto your computer and watch it that way, but technically this is illegal.
BTW, just to warn, video iPods have been rumoured for a long time (I mean proper video iPod, with a larger screen), but it's getting more and more likely to come out in the next month or so, in time for christmas, and to be able to laugh at Microsoft's Zune.