Is there a picture in picture using spaces under OS X?

Solution 1:

If you want to see the contents of one space in another space, there is no such feature in Lion, and I'm not aware of any applications that may enable it.

All in all, such “feature”, if it existed, would have given me a bizarre feeling, akin to remoting into my own computer. Why would I ever want to do that? It would be impossible to control another space with a mouse (scaling issues) so watching a film would be a pain.

You want to code and watch a movie at the same time? (Sure it's a good idea?)
Great, that's precisely what windows are for.

^{(Sublime Text 2 running with MPlayerX on top of it.)}

Some media players (amongst them is MPlayerX, the most polished OS X player) always stay on top when playing so you won't have issues with window disappearing as soon as you switch the focus.

Finally, if you want a window to stay visible regardless of chosen space, right-click its Dock icon and assign it to All Desktops as advised by Andrew in the comment to your question.

Solution 2:

Check out afloat. Link: http://infinite-labs.net/afloat/ It lets you "float" one window above others, and customize its appearance to a degree (eg. opacity). May be what you're looking for, but I'm not really sure, as your question is a tad unclear, at least to me.