I don't watch many movies or TV shows on my iPad, but I do the same thing with YouTube/web videos. Occasionally I'll full screen it, see the wasted space and rotate to landscape, but I never last long and definitely prefer portrait and wasted space to full screen landscape.
I use portrait primarily because its easier to hold it with one hand then landscape. Hell, I even watch movies and shows in portrait.
I get really tickled when I stumble across the odd 3:4 video like http://vimeo.com/41038445