I have mixed feelings on this...
True, I often ESC out of such things after I've seen them a few times, and I'd rather see the developers devote time/energy/money to good gameplay. On the other hand, I sometimes did like to revel in the accomplishment a little, in which case, having the movies improves enjoyment of the game.
This is a bit OT, but similar: I enjoyed the screens that used to pop up when you discovered a new tech in Civ 1/2. Sure, I only read the text once, if ever, but having the nice picture next to it and the full-screen interruption of the game made the discovery of a new tech seem like more of an accomplishment worthy of note. I realise the Civ 3 designers were trying to minimize the number of extra mouseclicks and remove "distractions" from the game itself. What I'd like to see in Civ 4 is something just like the current popup (letting you know what tech you just discovered and giving you a pull-down menu of what to research next) except it should cover more of the screen, have a nicer picture representing the tech, and probably give you a couple reminders like what new units/improvements that tech enables. Currently you have to click on the name and bring up the Civilopedia if you need the reminder, so in some cases, putting it on the popup would actually reduce clicking. And as long you could simply highlight the next tech to research and hit return/click okay, then the number of clicks would never be increased, just the feeling of accomplishment from getting a new tech.