Not movies, but some TV. I've bought a few (I think 5) Lost episodes from iTunes. Those transfer as a no-brainer exercise if you use iTunes. Simply tell them to sync, and they sync.
I have not purchased any movies from iTunes, because there's really no reason for me to just yet. If the upcoming iTV device is all that, and if I've got the $300 lying about I might get one.
The other sources for TV and Video have been iTunes freebies (they do about 1 video item and 2 songs per week - 1 mainstream, 1 indie), and my TiVo. If you have a TiVo (a real TiVo not a cable company copycat) you can use the TiVo desktop software (the $25 version, not the free version) to convert video for use on your iPod. I have episodes of Kim Possible, Lost, Justice League Unlimited, and a few other things.
One thing with TiVo Desktop is the software is a bit limiting in that it doesn't present a way off the bat to convert stuff that you are archiving on your computer that is not in the default TiVo Desktop directory. To solve this problem I wrote a wrapper program that forces TiVo Desktop to do this. You can find it here:
http://www.net-marks.com/software/tivo_converter_wrapper
As for getting movies off of DVD. Well, you'd need a DVD ripper - I've not really felt the need to do this so I don't know much about such software. Once you have it, you can use the following to convert any video (under Windows - I'm not a Mac user) for use on your iPod:
http://www.videora.com/en-us/Converter/iPod/
Another option is to that if you have Windows Media Center Edition and a TV card and use that to record TV, you can use the following to convert from the MCE proprietary DVR-MS format to standard MPEG which can be played on your iPod (or even your TiVo):
http://bluwiki.com/go/DVRMSToolbox_User_Guide
The steps would be use DVRMSToolbox to convert to MPEG, use Vidoera iPod Converter to convert to iPod.
Hope this helps.