I downloaded a few movies and there is no audio.
Remember that movies are containers
that contain separate streams. Those streams are usually video, audio, and subtitles. Each of those streams can be encoded in its own format, and may not be a common format to find inside a given container. Just because you can open the container (MP4, MPEG, MKV, etc) doesn't mean you know how to decode all of the streams within it. (Sorenson, Motion Jpeg, RM, H.264, MPEG2, VOB, etc for video, AVI, MP3, WAV, etc for audio)
Lately the problem with OS upgrades has been that "codec packs" tend to be OS-specific, and some of the recent updates have been killing off old, unsupported codec packs and causing videos we used to be able to watch to no longer be playable at all or to lose sound. ("perian" comes immediately to mind) To continue watching those, you have to either find a new codec pack, or a player with the codecs built-in. (as VLC or Mplayer often does)
One thing I see a lot is with MKV files taken from bluray. MKV allows codecs not normally found in other common containers, most specifically MPEG2-A/V. This is incredibly convenient for ripping BR discs, because that's their native format. All you have to do is decrypt the data, you don't have to transcode anything. It's a direct, lossless, fast rip. But macs haven't ever been able to play MPEG2 directly, so MKV files have always been a bit of a pain and require VLC usually to watch. That's not to say that ALL mkv rips will be that way, but a lot of them are because it's easy and it's lossless. The only time you're going to see other than that is when they've been downsized to a smaller resolution. Bluray rips can easily get over 45gb, and most people today seem to prefer around 7gb downloads, so the video needs to be scaled down quite a bit and usually with a lower frame rate. Last I looked, a typical bluray is around 13gb. Transformers was the biggest thing I ran into, it had an insane data rate and was one of the 45'ers.