I know of one final fantasy movie, Final Fantasy: The Spirits Within, which has been out on DVD for a while now. It is it's own story though, so don't expect to be seeing one of the games you've played in movie form. A lot of people don't like it, I thought it was a good enough movie.

There's another movie, Final Fantasy VII: Advent Children that has yet to be completed, it should be done in the near future though. And from the looks of the trailers it's going to be sweet.