I’ve never used Amazon for videos so I can’t speak to that. I’m vaguely aware that their streaming TV shows are only available for those on Amazon Prime, but Amazon Prime as best I can tell isn’t otherwise useful at all (or available?) here. I don’t know how films work with them. I’m curious to see what others say.
iTunes Store: videos are DRM’d up the wazoo, but it’s still my main way to purchase video these days. You can download the files. Theoretically they’re also always available to stream from any of your Apple devices, but I don’t trust that because who knows when rights are going to change - I download them to an external HD, and also back up that HD. The files I’ve downloaded from the iTunes store have an M4V suffix; I’ve never tried converting them. They can only be played through a device linked to your iTunes account - in my case, iPad, iMac, Apple TV, iPhone. I assume you can also play them on a Windows device as long as it’s linked to your iTunes account. But the DRM is a hassle - for example, while I can overlay Chinese-language subtitles on top of files that I’ve “otherwise acquired”, I don’t know how to do that with iTunes downloads. Once I tried to play a film from my iPad in class, and the iPad suddenly wouldn’t work as an input device, even though I was using it fine for a presentation a few minutes previously.
I’ve never looked into stripping the DRM. If it becomes that important, I “acquire” another version of the file and figure, heck, I’ve already given them money, my conscience is clear.
I have an iTunes Canada account, paid for through a Canadian credit card with a Canadian mailing address. At least one, and possibly both, of those things are required. Thus far this hasn’t caused trouble for me, but it’s still a violation of terms of service (but as far as I can tell so is even updating an app when I’m outside of Canada, so whatever). iTunes Canada has a pretty good selection of movies and TV shows - certainly far better than I can find at the few remaining DVD purchase/rental places here these days. A typical “big” movie (e.g. Force Awakens) is CAD25/NTD600 or so; second-tier new-release films around CAD20/NTD500; special deals often cost CAD10/NTD249. Current-season TV shows are expensive, running often around CAD35-40; older seasons perhaps around CAD25. TV episodes are typically available 12 or so hours after they first aired. Unfortunately, some shows aren’t available on a week-by-week basis, but only when the whole series is later sold on DVD (e.g. Game of Thrones).
iTunes: movies can usually be purchased when first released, and then rented starting typically a couple of weeks later. Rentals are in the range of CAD5-8. With a rental, you also download it, and then there’s an expiry date. With iTunes Canada, you’ve got 30 days before it’ll self-delete, even if you haven’t played it. As soon as you start playing the film, it’ll erase itself in 48 hours. To me that’s fair enough - I gather with iTunes USA the files self-delete 24 hours after you first press play, which is just obnoxious.
However, subtitles are very limited - English, sometimes Spanish and/or French (but often French movies are an entirely different version!), very rarely Chinese. That aggravates me no end because it means for my wife watching the shows is manageable, but too much like homework. The lack of Chinese subtitles is my biggest complaint. For TV shows, whatever, that make sense, but when I see the same film for sale in iTunes Taiwan with subtitles in a bazillion languages, I get annoyed. But this is where DRM comes in - I’d probably have to use different accounts to purchase from both iTunes Taiwan and iTunes Canada, but then I’d have to log in and out of different accounts whenever I wanted to play different films.
iTunes Taiwan: I haven’t used it yet. Their movie selection is quite poor, although most of the “big” titles wind up there; they have no TV shows. Purchasing and renting films are both cheaper. I keep meaning to register for iTunes Taiwan with a different ID and Taiwan-based credit card, but haven’t got around to it.