I would like to download blu-ray movies to an external hdd and then connect to my Sony blu-ray player to play movies. Is this possible? What formats do I use for files on hdd?
Probably not unless your USB connection is designed for HDD's which is really unlikely especially with Sony, if you had an LG or Samsung it would be more possible but again doubtful. This goes the same for your flat panel which may have a USB interface, you'd have better luck with your TV handling this instead of the payer.
Your best bet is to get a PC or just a Video card with HDMI out and run that to your TV. I have 2xATI Radeon 4670 HD which have 7.1 audio built in so no extra audio cable is needed, just the HDMI cable. Some cards have DVI out but include an adapter to connect an HDMI cable but it works the same. as far as playing blue ray from the HDD, I got an external drive with an eSATA interface which is faster than USB. Most newer PCs have an eSATA port. For a player I suggest Arcsoft TotalMedia Theatre which is the only plater I've found capable of playing Blu-Rays from HDD using the BR structure. Most players with a USB input are limited to reading Fat32. Fat32 is limited to 4gb file size so BluRays would need to be split into multiple files or resized to -4gb