DVD shops are found throughout Beijing, just keep your eyes open. They generally cost about RMB10 but can be found for as little as RMB6 with a bit of bargaining. Best not to buy them on the street as they often sell inferior quality pirated DVD's. Stick to the shops for the best ones, which sometimes don't work anyway. You can buy cases for your DVD's in varous shops or try the computer market.
They seem to have the latest releases as soon as they come out, but the very latest releases are sometimes filmed off the screen so beware. You can ask them to play a disk in the shop for you so you can check the quality.
DVD Shops in Beijing