Basically, different movies are shot (and put on DVD) at different "aspect ratios" - some will be "wider" than others, to put it simply. Generally, big-budget F/X laden movies (say the Star Wars films) will be at the "widest" aspect ratio. As your widescreen TV is at 16:9 aspect ratio, movies "wider" than that will have the bars at the top and bottom. However, the movies and programs put out on Sky are normally enhanced for widescreen TVs before transmission. For a fairly good article on the subject, look here:
http://www.dvdbulletin.co.uk/guides/aspectratios/