I came across a web site called ZuneDVDMovies.com, where you can pay for downloadable movies for your Zune. I haven’t tried it yet, but it does look legitimate. Prices for movies seem reasonable (from $1.99 to $9.99) and they have a good selection of reasonably new movies. They also have a sample movie that they play in your browser to give you an indication of the quality of the downloaded movie. Of course, a 2 hour movie would probably be about 600 MB in size, so you’ll need to have a relatively fast connection to download the file in a reasonable amount of time.
Another site I found is called HungryFlix.com and they only have Independent Films (nothing mainstream). They cater to iPods, so the files you download will no doubt be in mp4 format. I haven’t tried this site either, but it’s worth looking into if you like Indie Films.
Personally, I think recording TV shows and Movies using a TV Tuner card is the way to go (too bad I don’t have one yet!).