I have a lot of movies in itunes but I have no idea how to get them to play on my droid.
a.) Download doubleTwist and set it to sync your iTunes media with your Droid, OR
b.) Go to the folder where your movies are located and directly copy them to a folder on your SD card. They'll show up in the Gallery (you can also open them via a file manager like Astro or Root Explorer) assuming they are in the proper format.
DivX/XviD files won't work, FYI. If you need to convert to the proper format, download Handbrake (free, first result in Google) and convert using the "AppleTV" preset.
If the movies and shows you have are self-created (your own DVD rips for example) for iPod/iPhone use, they will play properly on your Android phone with the build-in Gallery player.
In most cases, if you have iTunes set up to copy the songs and movies to it's own folder, they are located in (on windows computers) your Music folder. In there, go into the iTunes folder, then into iTunes Media and finally in Movies. Downloaded trailers and such are also located there.
As long as the files you have do not exceed the resolution of your phone (Droid/X/2 has 854x480, most of the rest of the Android phones have 800x480) and are encoded at a quality of 1500Kbps (or lower for video) and 160Kbps (or less) for audio.
To view this information for your files, just play one in Quicktime, then in the top menu click on Window and then Movie Inspector.
Just to let you know, there is a dedicated video-section on these forums as well, so if you do have any additional questions, have a look there.
Droid Audio / Video - Droid Forum - Verizon Droid & the Motorola Droid Forum