Are any of the apps that allow streaming actually any good for large wmv or avi files? I've treid buzz player, media connect and air player and all are so laggy it's unwatchable. Seems they are only any good for .mp4 videos stored on my pc.
How big are the files? What are you trying to play them on? It has a big impact on the answer.
If you are jailbroken then xbmc is pretty much as good as it gets for smooth, interruption-free playback of big movie files.
For example, on my iPad 3 it will play anything I've thrown at it - and that's all straight from my NAS i.e. no computer or transcoding required in the middle. 1080p, 720p, mkv, you name it. Albeit the biggest file I've ever tried is only 15GB.
Not quite so rosy a picture on my iPhone 4. Any 720p film of 8GB or less plays perfectly straight from my NAS. Most lower bit rate 1080p plays OK. But any mid-high bit rate 1080p stops regularly for buffering.
Take a peek through the curtains of xbmc and you'll find a whole different world...