Of course, they will need to be in quicktime format to work with the native iPhone app (iPod). Or download vlc media player from the app store. It will play just about anything.
To add QuickTime movies to you phone, open iTunes click file at the top, then add file to library. Then you can choose which one you want. If you have a whole folder of films then choose add folder to library instead of add file.
If your using vlc there are instructions on the app after you download it...