What's a movement phase?
At the most basic level your movement phase will be used to put your units in a position to kill your enemy. A shooting unit will try to get close enough to shoot the enemy, a combat unit will charge or attempt to get close enough to do so in future turns. If only that were your only concern the movement phase would be nothing to worry about.
As well as thinking about how your units are set up to kill your enemy you have to plan for what your opponent will do in their own turn. He's going to be trying to get in a position to kill your units, and there are going to be plenty of times that you'll be better off passing up the chance to kill some of his guys to prevent him from doing more damage to you!
If that's not enough to keep your mind busy, don't forget to anticipate what the board will look like in a couple of turns time. If you can accurately judge where your opponent's units will be located in future turns you can position your own army to maximise damage at that point.
Something a little different - Fast Cavalry
A great way to enhance your ability to get your army into position and to complicate your foe's plans is to use non-standard movement. I've recently started experimenting with Dark Riders in my Dark Elf army. This unit has the Fast Cavalry rule, giving it access to a range of interesting new ways to move around the board.
This unit, with its high movement value and ability to fire on the march, can go almost as far as a flyer and still make full use of their crossbows. The added advantage of free reform means you should have little trouble getting round to the flank or rear of enemy units where you can shoot them without fear of being charged next turn.
Once they're in this position the enemy may divert units to stop you running riot behind the main battle-line. However unless his unit has similar rules you'll be able to just dodge them, forcing him to send more units in an attempt to corner you. On the other hand he may just ignore them, considering them nothing more than a distraction. In this case you're free to stand just behind a large section of his army forcing them to roll leadership if they want to march, and adding a rear charge to the fray when the two armies do eventually reach combat
And another thing - Skirmishers
Skirmishers function in a similar way to fast cavalry, but lack the movement to rush the enemies rear. Instead you'll find these units carrying out a similar roll on the flank of your opponent's units. The lack of movement means you'll have to be slightly more careful in anticipating which units may be sent to hunt you down, but these units are typically cheaper and with the light troops rule your foe will struggle to shoot them to death.