The nickelodeon was the first type of indoor exhibition space dedicated to showing projected motion pictures. Usually set up in converted storefronts, these small, simple theaters charged five cents for admission and flourished from about 1905 to 1915. 

"Nickelodeon" was concocted from "nickel", the name of the U.S. five-cent coin, and the ancient Greek word "odeion", a roofed-over theater, the latter indirectly by way of the "Odéon" in Paris, emblematic of a very large and luxurious theater much as "Ritz" was of a grand hotel. For unknown reasons, in 1949 the lyricist of a popular song, "Music! Music! Music!", incorporated the refrain "Put another nickel in, in the nickelodeon…", evidently referring to either a jukebox or a mechanical musical instrument such as a coin-operated player piano or orchestrion. The meaning of the word has been muddied ever since. In fact, when it was current in the early 20th century, it was used only to refer to a small five-cent theater and not to any coin-in-the-slot machine, including amusement arcade motion picture viewers such as the Kinetoscope and Mutoscope. 

The earliest films had been shown in "peep show" machines or projected in vaudeville theaters as one of the otherwise live acts. Nickelodeons drastically altered film exhibition practices and the leisure-time habits of a large segment of the American public. Although they were characterized by continuous performances of a selection of short films, added attractions such as illustrated songs were sometimes an important feature. Regarded as disreputable and dangerous by some civic groups and municipal agencies, crude, ill-ventilated nickelodeons with hard wooden seats were outmoded as longer films became common and larger, more comfortably furnished motion picture theaters were built, a trend that culminated in the lavish "movie palaces" of the 1920s.
What contraptions were the first movies played in?
"peep show" machines