It's not obvious, but Apple does let you organize your movies and shows on Apple TV into folders so that when you are looking at your My Movies section, things are a bit more organized.

To do this open iTunes and go to your Movies section in the library. Select all of the movies you want to put into a folder, you can hold down the Command button on the keyboard when clicking to select all of the shows you want.

Right-click on one of the selected movies and select Get Info (if you've never done this before, you may get a warning about editing multiple files.... just select Yes to continue and check the box on the warning to avoid getting this warning in the future).

Select the Video tab and then enter the label for the directory in the Show field. Click the OK button when done.

Once done, sync your Apple TV. Once the sync is complete, when you go to My Movies you'll see the folders you created. Select a folder to see all of the shows and movies that you put into it.

The only downside is that each show or movie can only be organized into a single folder. But it's better than having a big mess in the My Movies section.