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I can think of at least one good reason for putting movies, mp3s, etc. in a .zip archive. Correctness.

Quite a lot of compression formats (mpeg, realplayer, mp3, etc.) will fail silently if they become corrupted, or shortened, the errors showing up as blips in the audio, or artifacts on the screen. Or even just the tail end of a song going missing.

A zip file, on the other hand, contains information on the expected filesize, and CRC for each file. If the archive becomes damaged you'll know about it. And if you don't want it in a zip, you can take it out again. A processor capable of playing Divx, or mpeg video can easily cope with unzipping a file, and packages like zipmagic make the process transparent. For a minimum of inconvenience, you gain a lot in data security.

And it might even save a few bytes, too.