Some movies are supposed to look grainny ... 300, for example, surprised me when I first played it on the HD-DVD player because it was very grainy. Then I remember that's how it was like at the theatre too ... they wanted to give it a 'comic book feel' and thus it's very grainy.
The Bourne series is another one that looks somewhat grainy. The director wanted to give it the 'documentary' feel ...
If "Happy feet" is grainy on your screen though, then something's wrong with your setup.
If you don't have a HT calibration disc, use the THX Optimizer the comes with some Lucasfilm movies (Indiana Jones, Star Wars, etc) to calibrate the brightness, contrast and sharpness.