Ahhh my friend, you are asking a question that "has" an answer but is not particularly smiled upon.

You can buy movies directly from iTunes. You can also "rip" movies using Handbrake. Both of these are perfectly allowed and will not get you into any civil litigation problems. *2 for handbrake. Great program.

You can also "download" movies from certain websites using a torrent of data. Much like a water fall. This waterfall can lead you to a bay of pirates or a green demon if you can get an invite.

Personally I like the micro torrent better than the official one. It's all up to choice. I suggest you do a bit of searching around for how to do this and the legal/moral implications of such.

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-Typos courtesy of my mobile phone.