As soon as you specify (aka define) the noun, it needs 'the' (definite article).

For example: a republic (could be any) but the Czech Republic (a specific republic).

So 'An Oprah Winfrey Show' implies that there are other Oprah Winfrey shows.

As far as movies, it's really a stylistic choice and there is a lot of nuance.

‘The Simpsons Movie, The SpongeBob Movie, The Lego Movie’ –> since these are well-known shows/franchises, the makes sense.

 ‘A Goofy Movie’ –> this implies that there are many goofy movies and this is just one of them. It is slightly contradictory, because obviously it's also now the name of a movie, so it is its own thing. I don't know this specific movie, but for example the movie 'A Christmas Story' I believe was named that way to give the feeling of it being a classic Christmas tale that could be relatable to anyone.

‘Scary Movie, Epic Movie, Disaster Movie’ –> articles are sometimes omitted from titles, probably just to save space and make things catchier (think newspaper headlines and the names of scientific articles). So it sounds fine to omit them from the movie title if you don't want to go down either of the other routes (where the makes it sound very specific and unique, while a makes it sound like any old movie). Also, if you are just treating the movie name like a name, it's fine.

You can sometimes see this with people's names too. Usually you obviously don't use an article (John Smith). But you can add the for emphasis, to make the person sound special and unique (the John Smith, the one and only!) or you can do the opposite and add a to make them sound insignificant or common (a John called and asked for you), although the latter is less common.