Yes, there are two ways i know of: The best one is to buy a VCD-card and plug it into the Saturn. Then you can burn your own movies and watch them on the Saturn. There is a harder way also : You can use a codec or something like Fmv or Tmv from another Saturn game (or programm your own), and then let it play a movie. I have heard that this is possible but very hard.
If you want a movie for Saturn i can suggest Enemy Zero which is a very nice Sci-Fi horror adventure with amazing quality on the video.