PhysX is a technology which allows the graphic card to simulate physical effects, and make the game more realistic. However, it does take some GPU processing power and can slow down the framerate of your game, and can be quite costly as well - some games insist on a separate card dedicated for PhysX calculations, such as the GTS 250 which costs around $100 USD. If you own a graphic card which is powerful enough, then you might not need these separate cards.
Here is an example, in the game Cryostasis (not all games support PhysX, only a few do, there's a list on SLIZone):http://www.youtube.com/watch?v=g_11T0jficE
CUDA is a technology which is used for programming using the GPU. (Sorry, that's really all I know, although that's really it is)
PhysX may make your gaming experience more enjoyable, however neither will really help with movie watching.