I straight up tell them "I have received this as a gift. I don't have a receipt, I don't even know if it was purchased here. I just want to exchange it for something else".
As long as they sell the exact same item, they are happy to take it and give me a gift card.
You know why they are happy to give me a gift card? Because even if the original item was not purchased from them, I will likely be spending more money than the gift card is worth, giving them additional business anyways.
Honestly speaking I'm surprised that no one mentioned a main reason why stores do not want to take back DVD's without receipts.
Cost of different items is changed with time at very different ways. For example, hammers and nails are sold today and 1 year later on at about the same price, so a store does not loose money if you exchange hammer for nails or visa virsa. On the other hand, movies and games every 2-4 months will loose about half of the price, so if you bring back movies and games the store is going to loose money (even in the case you buy another DVD but NEWER).