If you want to capture movies from your iPhone screen, you would need a Mac, an EyeTV Hybrid, and [one of these gizmos|http://store.apple.com/us/product/MB129LL/B?mco=MTY3ODQ5OTY]
NOTE: This would not be smart, because any movie that you have on the iPhone is probably already in iTunes, or could be synced to iTunes.
However, if you just want to do a slide show of iPhone screens, you can take screen shots of your iPhone using the iPhone, and then stitch them together using iMovie on the iPhone.
To do a screen capture in iOS4, Quickly press and release the On/Off Sleep/Wake and Home buttons at the same time. A flash of the screen lets you know the screenshot was taken. The screenshot is added to the Camera Roll album.
Let me just add that I believe there is an iOS4 simulator for developers that runs on the Mac and permits video screen capture (e.g. for demos of apps). Unfortunately, I am not a developer, so maybe one will see this and give more details.