Depends on a number of factors.
1. How much storage do you need?
2. Is this just for (a) backup purposes or (b) do you want to play them from storage? If (b) what bandwidth do you need - i.e. a 4K movie can exceed a 100 Mbps bitrate.
3. In the case of 2a Backblaze or Crashplan may offer the cheapest storage if you have a lot of data since they have unlimited storage
4. Keeping a local copy so you can stream immediately usually makes the most sense. It also helps with a 3-2-1 backup strategy.
5. Running from a local disk makes more sense than a NAS in many cases as it a NAS introduces a whole bevy of issues - maintenance, security, bandwidth, speed, capacity, RAID level, etc.