Hi,
I use SMB shares with CIFS kernel module on my desktop PC. It works fine. Once the share is mounted, I don't have to download a file to read it, it behaves like a local disk. Very useful for big files like movies or directories with lots of pictures, so you can see thumbnails.
I'll test it soon on my N800, but for movies I don't expect same results as on my PC, because of high quality and resolution : the N800 will have to manage (lots of) data download, sound decoding, image decoding, scaling... at the same time.

I think the best solution, at the moment, is to use a video on-demand server which will transcode to lower resolution/framerate/bitrate.

FYI : I'm testing a VLC server for few days, I encode TV broadcasts ("live"), so I can use mplayer on my N800 to watch my favourite TV channel everywhere. It works quite well, with WIFI (but be sure to have a very reliable connection for HTTP transport) or Bluetooth/UMTS.
I capture video in 640x480, encode in 192Kbps and resize to 320x240, so quality is very acceptable on the N800 screen. Sound is 16000Hz, encoded in 32Kbps. I use ASF format, MPEG4 codec for video and MP3 for sound.

Mplayer works fine but only with SDL. The XV driver is very experimental, it seems to be promising but at the moment, it freezes often and sometimes reboots all the system. X11 driver is too slow.
If you want to use Mplayer, don't forget to activate framedrop, and increase cache size (2048Kb was the minimum for my tests).