@The_Compassionate_Heretic – has the answer I use. I bought an iPod dock, it has a timer on it so I can set it to play for an hour or whatever and then shut itself off. I have it sitting on the nightstand beside my bed and I play it at low volume right by my ear. It works great and has an alarm clock as well.
Only disadvantage is that the iPod I use is a nano so the movies are sideways on the screen and the dock holds the iPod upright. But since I am lying down as I watch, it is not a big problem or I just put the dock on its side, then the picture is right.