I posted a pretty detailed overview of how I handle these things in another thread.
Basically, I do keep these lists in OF so that they're available when I'm at the video store with my wife and wondering what to rent, or when I'm out of books and find myself near a library with some time to kill.
If I deliberately set out to buy a book or watch a certain film, I'll turn that into a project or action or something.
As you point out, it's nice having it all in one place.
On the other hand, there's plenty of good reasons to keep it elsewhere. I do have tons of other lists in OOP or text files or whatnot that are not really errand/location based.