HBO, Cinemax, Showtime, Starz---all the premium movie channels---have set up their own on-demand services with many of the major digital cable providers. Through these, they offer episodes of their network-specific programs as well as films they show on rotation. The selection is limited as the premium networks only show films playing on their network at any given time.
Apple TV, VUDU and Amazon offer set-top hardware to bring movies to your entertainment center. While the selection is good, films are only available for 24 hours after you rent them (for $4). You can buy the movies for about $20, but the hard drive space on these devices is limited.
Another problem with on demand services is keeping the films you have purchased. As hard drive space is limited on your set-top device, you don't want to fill it up and make it run slower. But you also want the film to be available when you want to watch it. Copying the films to DVD isn't possible either, because the films contain software to thwart pirating.
Most of the set-top boxes cost between $200 and $300, plus you have to pay to rent or buy the films you want to watch. Services like on demand or Netflix are available for a lower monthly fee, but they only have certain films available at certain times.
You can always watch films online. There are a handful of reliable pay-per-view on-demand websites, but few offer high quality and high selection. Once you download the movie you want via your online Internet connection, it can be hooked up to your television unless you don't mind watching it on a smaller computer screen.