Use iTunes. Buy them. If you're looking for piracy advice...
[WARN]We are now taking a ZERO TOLERANCE to piracy discussion. Discussions regarding the pirating of video games and/or App Store apps for use on jailbroken iPhones will not and can not be tolerated. Any posts containing links and/or discussion of any pirated material will result in an immediate and permanent ban from the iMore forums.
You can also use various programs like Handbrake to make a digital copy of a DVD movie you already own for your own private use and import the digital copy into your iTunes for your use on iDevices.