Devices for streaming HD movies

Hi.  I'm a new user and couldn't see anything on this topic.  If there's a better forum, please advise!  I'm set as far as my audio and video devices, TV, speakers, etc...but I'm looking at devices for streaming HD (movies especially) / SD / online content.  I've seen some in action, such as the Roku (Netflix) and Vudu box.  Any ideas / pros / cons concerning these or other such devices?  Thanks!!