I've often wondered if Apple could figure out a way to airplay/screen share from one iPad to another in situations like this. Let me play a movie on one iPad and have it displayed/synced on the screens of a few others. That way you could each have your own screen, but watch the same movie at the same time together.
That said, I think right now your only option is a bluetooth device like posted above, or the analog equivalent 3.5mm headphone jack splitter to pairs of wired headphones.