For what it's worth I always go for readability ...
<?php
$query = "
SELECT *
FROM movie
WHERE movie_id = '".$_GET['movie_id']."'
";
?>
P.
PS
IMHO, always cut in and out of strings and always use single-quotes for strings. That is,
<?php
$name = 'Fred';
$message = 'Hello '.$name.', how are you?';
?>
... is 'better' (couldn't think of the right word) than ...
<?php
$name = 'Fred';
$message = "Hello $name, how are you?";
?>
... on grounds of readability again. No?
Easier to debug, infintesimally faster and best of all, using single-quotes all the time means you can save your double-quotes for HTML attribute values without having to escape them.