I suppose what I need in a movie is the same requirements I have for any proper novel.
Not that I'm always after the classic protagonist "good-guy", but at least someone who grows in some way as events overtake him. The main character in District 9 begins things off as an asswipe (forgive the language), and as the movie fades to black, he is still that very same asswipe, the only change being his physical transformation.
I also found the movie to be a bit claustrophobic. Where in the hell is the rest of the world, as if we would allow South Africa carte blanche to backward engineer alien technology.