I have heard of the PHYSX, CUDA & other striking feature of nvidia graphics card, so all i want to know is that what difference do they make in the gaming or watching movies. It would be very great if there is a VIDEO PROOF regarding their effects.
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):