Some cities do, some don’t. Here in Memphis we’ve got a thriving local film community; one of our smaller festivals is next weekend. However, the movies are not (as far as I know) available outside of town. There’s one local video store that tries to get copies of as many local productions as it can, but for someone out of town, I don’t think there’s much available in the way of distribution. Some short films and trailers for features can be viewed here.
SDMB member vibrotronica has made several feature-length pictures over the last few years (in which I’ve played small roles), and I’ve made short films that have played our biggest local festival several years running. He’s won a few awards, but so far the award-juries seem not to fully appreciate my genius.