Just to add to the information given, a few weeks ago I bought from Woot a "Centon 64Gb Class 10" SDXC card (not micro...full size) for $55 and am using it happily with my A500. I use it with a Targus USB card reader and attach it to the full size USB port on the A500. The only snag which occurred originally was that I used "SD's" own application to format it and it would only format in "Ext", this turned out to be unreadable by the A500 but I resolved the problem by formatting the card in Windows as Fat32. This now works fine and given the size you can put on as many movies as you wish.
Just to add to what ojones838 said above.....Generally speaking the A500 will automatically mount external SD storage or USB storage as soon as it is plugged in (at least this is true of my ICS rom) but it's wise to "Unmount" the storage media before removing it.