Where are you getting these movies? The iPod is designed to play movies downloaded off of the iTunes store, but can also play home movies taken with a video camera, provided that they are the right file type. If they aren't the right file type, one if two things will happen, the movie will play without sound, or they won't play at all. The fix to the problem is of course change the file type. To do this, open iTunes and find the movie that needs to be converted, highlight it (click it once), click "Advanced" on the tool bar, then click create iPod or iPhone version.
That should be it. Let me know if you have any other questions.
