When it comes to stand-alone projectors, you can certainly cobble together something for the same kind of dollars as the MovieMate 85HD, which seems to currently (2/11) sell from in the $700's up to $899 at the Epson store.
The thing is; the MovieMate is about being a portable, probably fairly rugged, projection solution that can be moved from room to room in seconds, and just as easily (if not as fast) to a friend's house, or on vacation. Set it up in the back yard, or shine it on your garage door. It's mobile, and that means if you are willing to tote all 9.5 pounds with you, there's lots of fun possible. Dragging separate projector, player and audio around isn't my idea of portable.
The MovieMate 85HD is a portable movie system, and if you provide a feed you can use it for cable or satellite. It's also your music box. And of course, let's not forget, using the MovieMate for gaming, or viewing photos. I must say, I was a bit disappointed that there isn't an SD card slot. That would have been handy. Still, there's USB.
Of course you can hook it up to iPhones and iPads and Androids, also via the USB.
The 85HD nicely offers a projector off feature so you don't use the lamp (and the extra electricity) when you just want to listen to your CDs. There's also an audio mute.