I get too self-conscious to watch movies on my laptop while taking the train. Only when I'm in first class and I have some personal space and no-one watching over my shoulder I put something on - but then it's almost always on a high-speed train, and watching movies on that makes me dizzy. I also get slightly paranoid if I'm watching something that I've downloaded illegally, even fucking Letterman. I half-expect a cop to turn up and put cuffs on me, or at the very least a bully representative for a major movie studio to chew me up. I usually end up listening to podcasts instead.
(Yes, I've been taking the train a lot lately.)