How do i watch Movies on my Android Phone?

I currently have a T-Mobile Mytouch 3G which i could never figure out how to watch movies on. Id try different formats, different APPS, the main issue was always that i got Sound but no Video.

Now im about to upgrade to a T-Mobile G2 or Mytouch 4G and want to make sure i can watch movies on it. How have people been successful in doing so? I was hoping it was only because the Mytouch 3G was an older phone so didnt have the processing power to run them.