One of the biggest problems I've had is that the catalog of movies (which is pretty big about 5500 movies, and over 120 in HD) isn't searchable online. Which is super annoying, since if I want to watch a movie I'd like to know if it's on Vudu.
When I have some more time I'll detail the format they use, but the short version is:
It's pretty easy to figure out what the different fields do by playing around with the Vudu browser page
Update (10/22/08): Vudu has change it's site. My above script no longer works :( They have updated there movie listing so you can now buy movies online (finally), but they still don't have search.