You can also use a 3rd party projector (not very useful in html mode) to make custom shaped movies.

Check out SWF Studio: http://www.northcode.com/products/sw.../features.html

or ScreenWeaver MX (still in private beta)
http://www.screenweavermx.com

For HTML purposes, make the bottom layer any shape you want and make the movie transparent as rhellstrom said.