For movies, I like Starz online. There is many others but I prefer to use this one for now. Pretty much you download it and watch it. It is a perishable file. Once you get it(without viewing) you got 30 days to watch it. After you use it once you got 24 hours of viewing.
For music videos I like Winamp's videos. Free and sometimes pretty good. Another is Yahoo launch cast(ad driven, but so is tv). There is so many.. One that looks legit is FindVideos.com, I have yet to go there. It is next on my hit list to browse and check out the quality. One of the players even offers on demand videos, even though I am not fond of the (real)player. Heck even Media Player does ondemand videos. There are plenty of video sources and yeah some may be ad driven.
Seeking out known legit services will not get you "the letter". For finding videos/programming it is an easy task and there is so many places to get them too.
Most TV shows/Music Videos are copywriten, and sporting events. So finding your favorite TV show may not be totally legal. Then agian I am not a lawyer.
If your not in the US your laws may differ. This site is based in the US so it has to ahdere to US laws.