iTunes: Frequently asked questions about viewing and syncing videos - http://support.apple.com/kb/HT2729 - including file formats supported by iTunes and on mobile devices, DVDs, etc.
You can save your iTunes Store movies to data DVDs for backup purposes (if you have a supported DVD burner), but these DVDs will not play in a DVD player.
You cannot convert iTunes Store videos to another format to author to DVD.
Technology experts are working on a movie storage system where YOU have physical possession of the movie.
This system stores the movie digitally on an optical disk system that will not be dependent upon a congested, complicated, and fragile network.
Because all of the data is stored only a few feet from your television, all the bottlenecks are removed. Performance and reliability are virtually flawless.
Further, the system will not utilize any form of security codes, authentications, or passwords. Once the optical disc is purchased it can be moved around freely at will, and can even be lent or given to friends and neighbors with zero hassles.