I loved when researches discovered that playing Mozart to babies made their brains develop faster. The brain tries to make sense of the information it receives, and the more complex, abstract nature of Classical music demands more of it. Mental exercise accelerates a brains development!
Watching a movie is a much more passive activity, not needing to be exclusively focused on. Plus movies are a more social, group activity, music a more personal, private one. You can't converse and listen to Mozart at the same time. Groups of people get anxious when no one is talking!