I have tried to use plex a few times and was never able to get it fully working. Not sure I understand what all is needed, plex server, plex app etc...
You need a plex server and a plex client. They are 2 different pieces of software that are supported on lots of different platforms. The server will run on Windows, OS X, Linux, FreeBSD, some NAS appliances and possibly other platforms (I run it on my FreeBSD server). Plex has clients for just about any device you'd want: PCs, Macs, smartphones, tablets, streaming devices, smart TVs, Raspberry Pi, etc. You can also run the server and client on the same machine, like a custom-built HTPC or a Mac Mini. One big advantage of Plex is that the server will transcode your media if your client/device isn't capable of playing it; transcoding only happens when your device isn't capable of directly playing the media. This allows you to watch your media on just about any device.
Also note that you have to have a Plex account and both the server and client need to be logged in for everything to work properly, even if you only use Plex from within your home network. This is one of my few complaints about Plex but it's not that big of a deal.
Also I have started buying a lot of movies through iTunes, not sure if Plex would play those anyway.
No. Plex is really for people who want to play ripped movies/tv shows, not content that was purchased through iTunes. It's a great alternative for people who use iTunes for their ripped content.
Plex is really nice and one of the best options for this kind of thing, especially if you want the ability to play your content on a wide range of devices. It's easy to setup and use and yet still quite powerful. Some of the advantages it has to using iTunes for your ripped content are:
1) You can run the plex server on a wider range of hardware (i.e. linux, FreeBSD, NAS) as opposed to iTunes which requires Windows or a Mac. One of the big reasons I use Plex is because I can run the server component on my FreeBSD server which is already on 24/7; I didn't want to have a Mac or PC on all the time as well nor did I want to bother with the hassle of running a Windows VM on my FreeBSD server just for iTunes.
2) You can run the plex client on a wider range of hardware as opposed to just Windows PCs, Macs, and Apple devices.
3) Depending on the hardware you use, you won't have any limitations as far as codecs, audio formats, file containers (e.g. you can use mkv files), etc.
4) If you have the right client hardware, you can have proper 24p, Dolby TrueHD and DTS-MA support. Unfortunately, you're not going to get this when using an AppleTV as your Plex client.
5) Better UI than the Home Sharing UI you get on an AppleTV, especially when you have a large collection. In other words, it's not just a long list of movies.
6) It will gather metadata for your movies. The only things I've ever had to fix are the sort titles so things like the Harry Potter movies are sorted correctly.
