While no wireless security is yet unbreakable, WPA offers you significant advantages over WEP:
IV Length is twice as long and IV values are not replayed
WPA does not directly use Master Keys
Message Integrity Checking is far improved
WPA includes secure key management
So if your router and network card offer it, I would strongly suggest enabling WPA-PSK (pre-shared key) over WEP. It's at least more secure than WEP (which as you saw in the video, isn't saying (too) much. But it is the precursor to 802.11i, which will be even better than WPA.
As you all correctly indicated, WEP/WPA, much like locked doors, are only designed to keep honest people out. Anyone who truly intends to break in to your wireless network will indeed do so. What you should aim to do is make it hard enough to do that the casual hacker won't be able to do it in 10 minutes like the guy in the video. WPA will provide that level of security.
You also talked about being afraid to do secure transactions over your wireless connection. If the site you are working with is secure (i.e. you see https:// in the address bar, or you see the lock icon on the bottom of the browser window), the data is encrypted end to end from your browser, over your network, to the host computer. This includes the transit between your computer and the wireless router. In short, as long as you're on a secure site, there is not an issue regarding someone seeing your secure-type traffic over the wireless.