The TCPMP player is good and free. Used to be called betaplayer.
see
http://tcpmp.corecodec.org/about
You can also rip movies etc /convert between formats if you have a good sized SD card but using the free tools is much harder than buying one such as PocketDVD. A movie can be as small as 256Mb. Takes aroun 45 minutes to convert a full film.
You use activesync to move files to your handheld however if you have an SD card reader you can move big files via SD card faster than via USB.