It allows your phone to grab the files rather than using iTunes as you don't want that!
1, You must have meant
iTunes Store (not
AppStore) and downloading from Apple's own movie library. (Which I don't really recommend - it's much better to convert your own Blu-ray discs if you want quality, subtitles, iOS-playable extras, commentaries, lack of copy protection etc.)
2, if you meant apps that can utilize iTunes
File Sharing (not to be mistaken for either iTunes
Home Sharing or the standard video synch method via the Movies tab) or even direct streaming (UPnP, SMB etc.), then, you'll still need a desktop to download from.
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Where did you get Good Player?
Before you download it, you'll need to know something: if you use it to stream, you definitely won't want to use it to stream over UPnP or SMB.
Otherwise, it's a decent client BUT there are better players for some formats / setups.
Let me know which of the two you prefer: streaming or downloading before playback.
(BTW, downloading via Wi-Fi from any AppStore app will always be about 10 times slower than synching / transferring via iTunes over USB.)