I thought I understood the movie.
This statement can be interpreted in two ways. Both of these occur after you have watched the movie. If taken literally, you sincerely believe that you understood the movie. However, if a certain emphasis is put on "thought," this statement can be taken as your bemusement to your false interpretation of the movie before a revelation.
I thought I had understood the movie.
This is much easier to work with as meaning is more explicit. The meaning of this statement fall in line with the second interpretation of the first statement - you thought you had understood the movie, but during the time of the statement you no longer believe that.