[d_r]

For that, Air Video has worked great for me. (There's a free version that shows up to N files in a folder, if you want to try it out first.)

[radley]

Or just use Plex - a bit smarter than AIR Video - it includes placeholders so you can stop watching in the living room (via computer) and start from the same spot in bed (via iPad/iPhone).

[damienfir]

Air Video is nice, but you can't store movies for travelling.

[grourk]

ZumoCast has that functionality (a download button, for offline viewing).