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I put all my movies on an external hard disk. Only need to have the disk plugged in if I want to watch a movie. That's good enough for me.
That's my setup. If I wanted to watch a movie on the go and not lug around the external disk, I'd just copy over the movies I'd wanted to watch.

I do have a portable disk, though, which makes it easier to carry my whole collection with me.
 
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