So even if you fully download a movie file, like an mpg, then watch it after it is downloaded on your computer, it will skip and be slow? If yes, what software are you using to play downloaded movies? There may be a setting to change the play speed/framerate.
If it is just streaming content from places like youtube that is the problem, then I would take a look at your signal strength that you are getting from your wireless connection and make sure it is at least a good signal. Then I would make sure both your router and wireless adapter are configured to send/receive the same signal. Like if you have a wireless G router and adapter, set them both to send/receive G only.
If you're sure your wireless setup is in good shape, then I would go to a couple different online bandwidth speed tests and test how consistent your internet connection speed is.
If all checks out, I'm afraid I'm out of ideas. This is a difficult problem to pinpoint from long distance
