Josh Freund from GamesAreFun.com went to the trouble of making an unofficial list of what movies, taped music performances/concerts, and comedy shows are to be released on UMD (Sony's Universal Media Disk) for the PSP. It's a large list and can be found on the above link. Most movies are from Sony's own movie branch which is expected.

Some notable ones, according to my taste in movies/TV, are:
Super Troopers - 7/05
Air Force One - 7/19
Armageddon - 7/19
Kill Bill - Volume 1 and 2 (sold separately) - vol. 1 already available, vol. 2 coming - July 19
Monty Python and the Holy Grail - July 26
The Replacement Killers - August 09
Dave Chappelle - For What It's Worth - August 16
Sin City - August 16
The Rock - August 16
Snatch - August 23
Final Fantasy VII: Advent Children - September 13 :)
Ren and Stimpy Volume 1 1/2ish - sometime in December
The Incredibles - sometime in December

I don't think it's worth buying a movie on DVD and UMD, unless they are packaged together at only a few buck more than the DVD by itself. But some movies are great for watching anytime. I imagine it will be mainly movie buffs and parents with their children that will start collecting UMD movies. I wouldn't be surprised if in the future Sony offers DVD players and TV's with built in support for watching UMD's. Well, that's only if Sony is serious about selling this format long-term, past the life of the PSP, and that depends on if they release another handheld - a PSP2.