Are there any other devices that do movies and Internet ok and isn't that expensive? Maybe I'm just asking for too much?
The closest I thought was PSP, but you're right, it's for games - for just movies and internet it's not good (instead it's complicated, difficult to use and forces you to do a lot of work). The next best thing I could imagine is a portable/handheld small cadget, (yup, mobile phones' browsers suck, and their "videos" are horrible) except that I'm not sure about their capabilities compared to mobile phones, and they are very expensive (even when they're "cheap").
So, yes, you may have asked for too much. Today's society offers you powerful laptops and small funky cadgets, but if you just want a browser and a decent omvie player in one package, along with affordable price, you're asking for something you won't probably find too easily. Good luck in your search anyway, and if you find such a thing, tell me too - I've been looking for a similar device for quite some time.
Maybe a handheld with a Linux could do it - if it just had a wireless.