Some movies to check out would be:
The Great Buck Howard- This movie is sort of a biography based on "The Amazing Kreskin", its a good watch.
The Wizard of Gore (original or remake) I own the original, its pretty brutal, I got through maybe 10 minutes of it lol. Its a C movie, made back in the 70's, I have not seen the remake, but the basic plot behind the movie is that its a serial killer magician that uses his tricks to disguise the fact the he is actually sawing a girl in half, and actually cutting their heads of with a guillotine and so on.
Shade- This was already mentioned, but what was not mentioned was that the films creator and director is also a magician, his name is Damian Nieman, also Paul Wilson was involved in the movie too, as well as many other local Hollywood magicians, in fact there is a scene in the movie that was filmed at the magic castle.
Also I would check out the T.V. Show "Arrested Development". It is hilarious and one of the main characters "gob" is a screw up magician, its really fun to see him perform his magic tricks.