Just few moments ago Apple has upgraded its Apple TV firmware to 4.3 with new features and enhancements, and on the go it was spotted streaming your purchased TV shows on all iDevices including iPhone, iPad and iPod which came as a surprise. Usually Apple gives a public announcement on such major revisions but this feature was embedded as routine. But recently it has been learnt that iTunes as well as iPhone, iPad and iPod are getting this feature in coming iOS upgrades.
If you are not familiar with iCloud its basically an online Media storage repository which can Sync you Music, Videos, Docs, Contacts etc over the air and later you can use the same media on any iPhone, iPad and iPod.
In the snap below Apple has given the option of Download TV Shows which have been purchased already. The content downloaded will be according to the device linked with that particular account. Hence it is important to link multiple devices with single account rather than each device having separate account.
The integration of iCloud is strengthened by storage of your personal content including contacts, messages, libraries, bookmarks etc over the air. There are many other services will be linked with iCloud in future.
To give it a try visit iCloud.com which is currently used by Apple developer to interface multiple APIs for iCloud service.