Amazon (AMZN) launched a new service called Amazon Video on Demand, which allows users, for a fee, to watch any of 40,000 TV episodes or movies, in real time, on their Windows and Macintosh computers, and on specially equipped Sony Bravia TV sets. This service replaces an earlier Amazon video offering called Unbox.

I have been testing Amazon Video on Demand and I found it worked well, although it has some limitations. The user interface is clean and smart, the quality is good if you have a fast Internet connection, and there are some clever features. On the downside, it works poorly with the slow connections typical in places like hotels. And there are some studio-imposed limits on what content is offered and how you can view it.

To date, there have been three major models for legally getting TV shows and movies from the Web.

In one, best represented by Apple’s (AAPL) widely used iTunes store, the TV shows and movies are ad-free, but you pay for each. All of this content is downloaded to your Windows or Macintosh computer or your Apple TV set-top box for later viewing, even when you’re not connected to the Internet — though on Apple TV you can start watching while the material is being downloaded.

A second model, best represented by the studio-owned Hulu.com, presents movies and TV shows on a Windows or Macintosh personal computer free of charge, but requires you to watch commercials that can’t be skipped. The TV shows and movies you view on Hulu are “streamed” rather than downloaded, meaning they are meant to be viewed immediately, in real time, rather than stored for viewing when you’re not connected to the Internet.

The third online model is best represented by Netflix (NFLX), the popular DVD distributor. It offers a “Watch Instantly” streaming option on Windows PCs or on TVs equipped with a special set-top box, for a small portion of its large catalog of TV shows and movies. These videos are ad-free and don’t carry an individual charge, but require a monthly subscription fee.

The new Amazon Video on Demand service is a hybrid of these others. As on iTunes, the TV shows and movies it offers are ad-free and purchased individually, don’t require a subscription, and work on both Windows and the Mac, plus on one type of set-top box. In Amazon’s case, that’s Sony’s Bravia Internet Link, a $299 device that works only with Sony (SNE) TVs.

But, like Hulu and Netflix and unlike Amazon’s older Unbox service, the new Amazon Video on Demand service offers videos via real-time streaming. In many cases, it also allows downloading, iTunes-style, to Windows PCs (but not Macs) and to TiVo devices attached to a TV. The videos can’t be streamed in real time using a TiVo (TIVO).

Amazon’s streaming videos are viewed in any of the major Web browsers and don’t require any special software. I tested the new service on both Windows PCs and Macs, and on a Sony Bravia TV equipped with the $299 adapter box. In my tests, Amazon’s videos looked quite good over a fast Internet connection. However, on a typically lousy hotel Internet connection, the movies were often grainy and kept stuttering.

The new service doesn’t yet offer videos in high definition, something Apple just announced this week it is adding for some TV shows. Amazon says it is working on HD.

Amazon’s user interface for the new service is very nice. All of your purchased videos are available in a library stored on the company’s servers, so you can easily watch them again and again if they are purchased, or resume a partly watched rental. And the service remembers where you stopped watching a video and resumes it at that point, even if you started it on, say, a Dell (DELL), and resumed it on a Mac.

On the downside, the new Amazon service isn’t always simple or consistent. For instance, you can watch only two videos at a time, and not all titles can be either streamed and downloaded, or be either purchased or rented. Most rentals last 24 hours, but some differ.

Selection was OK, but not great. Because of studio policies, many current and recent movie hits aren’t available. There are gaps as well in the TV selection. For example, while iTunes offers the current second season of the excellent “Mad Men” series, Amazon has only the first season.

Prices also can be confusing. Amazon rents most movies for $3.99 and sells them for between $9.99 and $14.99. TV shows generally cost $1.99. But some titles carry different prices, albeit these are often lower.

All in all, Amazon Video on Demand is a good service for people who prefer paying for ad-free TV shows and movies, and is another strong step in the Internet’s rising competition with traditional TV.

Find all of Walt Mossberg’s columns and videos online, free, at the All Things Digital Web site, walt.allthingsd.com. Email him at mossberg@wsj.com.

Now, two more set-top boxes have been launched to try to marry the Internet and the TV. Both adapters, from Sony (SNE) and Roku, worked well in my tests, but each has limitations. The problem is that one of the boxes supplies content from a wide range of Internet video sources, but only works on selected models of one brand of TV set; the other works on a wide variety of TVs, but only provides a single source of content.

Sony’s adapter is the Bravia Internet Video Link. This is a $300 module that attaches to certain Sony HDTV models. It can either be set up beside the TV or snapped onto the back of the set. Once it’s connected to your TV and to your home network for Internet access, a new menu appears on the TV allowing you a choice of videos from numerous online sources, including YouTube, Yahoo (YHOO), Blip. TV, Sports Illustrated, AOL, Wired, and the Web sites of CBS (CBS), Showtime and more.

Setting up the Bravia Internet Video Link was straightforward, even though it involved a welter of cables. There is no built-in Wi-Fi — you need either a cable or an add-on wireless adapter to connect to the Internet. The primary hookup to the TV is via a modern type of cable called HDMI, for High Definition Multimedia Interface.

I tested the Sony Link using the company’s most unusual HDTV set — a tiny, very costly model that uses a very thin, very vivid new screen technology called OLED, for Organic Light-Emitting Diode. This TV provided a spectacular picture, but it isn’t required to use the Sony module. The Link works on many larger, more common Sony sets with more common screens. It just doesn’t work on non-Sony TV sets.

Sony’s Bravia Internet Video Link adapter

The Sony module doesn’t have its own remote control. It uses the one that came with the TV. This makes for an awkward experience, because there are no standard play and pause buttons, and various other buttons on the remote meant to do one thing on the TV may do another when watching Internet video via the Link module.

Also, I found some of the Internet content to be disappointing. Many of the items labeled “movies” on various Internet channels were really just trailers, and some content was stale. For instance, some baseball news videos on Yahoo were weeks old.

However, Sony plans to make one of its feature films, “Hancock,” available through the Link module before it’s released on DVD. More important, it will be adding access to Amazon’s (AMZN) forthcoming video-streaming service, which promises to contain a wealth of full-length content.

The Netflix Player by Roku is much simpler. In fact, it was the simplest set-top box I have ever tested. It costs just $100 and does just one thing: It allows Netflix (NFLX) subscribers to view its movies and TV shows via the Internet on a television set instead of on a computer. It can’t get you any other video content from the Internet.

The Netflix player is a small, plain black box that works with most TVs, not just digital or high-definition models. It connects using both old-fashioned cables, like the kind used by many VCRs and older DVD players, or an HDMI cable.

Unlike the Sony, the Roku box includes both wireless and wired Internet connectivity, and has its own remote. While the box is capable of displaying high-definition content, the Netflix service isn’t currently streaming movies and TV shows in high definition, so you get varying quality, depending on your TV and Internet speed, up to DVD-type levels.

There’s no added monthly fee required to use the Roku box, but you must be a Netflix subscriber. The box merely displays the movies or TV shows you have placed in your Instant Queue on Netflix. You have to do this on your computer before viewing the videos on the Roku box. You can choose from around 12,000 streaming movies and TV shows, far fewer than the 100,000 titles Netflix makes available via DVD, but a sizable collection.

In my tests, the Roku box set up quickly and easily, the interface and remote were simple and effective, and the movies and TV shows I tested streamed quickly and without hesitation over my fast home Internet connection.

Both products are meant to promote sales of other things — Sony TVs and the Netflix movie-rental service. They do these tasks well, but neither is the breakthrough solution that will connect most TVs to most Internet video content.

Find all of Walt Mossberg’s columns and videos online, free, at the All Things Digital Web site, walt.allthingsd.com. Email him at mossberg@wsj.com.