Paragraphs in printed texts serve two functions:
They structure the text visually to better allow the readers to orient themselves on the page.
They structure the text regarding their content. Every paragraph deals with a distinct point or idea, and paragraph breaks happen when that point or idea changes.
Paragraphs are marked in spoken and written language by discourse markers. Discourse markers that indicate the beginning of a paragraph can be reinforcing ("A further example of this phenomenon can be seen in..."), contrasting ("This argument is not, however, accepted by all critics. For instance,..."), concessive ("Although these ideas are interesting and useful, they do not take account of...") and so on. Usually specific words ("further", "however", "although") mark the kind of connection to the previous paragraph. The end of a paragraph is signalled by a discourse marker as well, for example a concluding one ("Therefore ...", "Thus..."). Internally, a paragraph consists of a topic sentence (often a statement, e.g. "In the first movie, the first aspect appears right at the beginning.") and zero to several explaining sentences that elaborate on the statement (i.e. there are paragraphs that consist of only one sentence, like the following paragraph in this answer).
From the second function – to structure text in relation to its content – follows that you should actually break up the body part of your essay into paragraphs, if it contains more than one point or idea.
Much will depend, of course, on how long the discussion of each idea or topic is. If you can cover all four aspects and all movies in a single sentence, then you wouldn't break that sentence up into paragraphs, of course. But I assume that each discussion of each movie under each aspect will be several sentences long. Then each movie under each aspect would get its own paragraph, at the very least. And if the discussion of one movie under one aspect contains several topics or ideas, you'd break this discussion down into more paragraphs, as well.
Your essay would then have something like the following paragraph structure:
1st paragraph: Introduction, topic 1
2nd paragraph: Introduction, topic 2
3rd paragraph: Introduction, idea 1
4th paragraph: aspect A, movie 1, topic 1
5th paragraph: aspect A, movie 1, idea 1
6th paragraph: aspect A, movie 2, topic 1
7th paragraph: aspect A, movie 2, topic 2
8th paragraph: aspect A, movie 2, topic 3
etc.
If the style guide for your school, university, or publication doesn't say otherwise, it is perfectly fine to have headings before each section. For example:
- Introdution
- Aspect A
- Aspect B
- ...
Or, if the discussion of each movie under each aspect is several paragraphs:
- Introduction
- Aspect A
2.1 Movie 1
2.2 Movie 2
2.3 Movie 3
- Aspect B
3.1 ...