I second this suggestion, although Oculus didn't develop the Netflix app, it's up to Netflix.
Considering media is apparently the primary push for the Go rather than games, or at least I heard. Some way to download Netflix movies so you can actually watch them 'one the go' would go a long way to achieving that. It seems bizarre to me that one of the pushed use scenarios is to watch movies while travelling in your own private cinema, but you cannot download them to the device to watch them in the first place.
What use is a travel mode in the Netflix app, if you cannot use Netflix while travelling due to the lack of a internet connection or ability to store movies locally?
Windows, and Phone/Tablet Netflix apps have an offline feature for Netflix shows ...
Netflix can't do downloads because of their contract with the studios. An expanded movie download pay on demand store would work though.
However you could get a mobile hot spot and carry that with you. They're a bit pricey though.