what a Movie Anthology RPG (MARPG) is and why you would play an MARPG, it's time to get down to the meat of how you can play an MARPG. There are a couple of things that I could think of that a GM should focus on, but the first big question when planning for this type of game is to decide on the system you want to use.
There are a couple of considerations. The first is simplicity. Since you'll be playing three or four mini-games instead of one larger game, you're going to want a system that's not going to wear on your players too much. Where an MARPG session can last as long as your random D&D session, keep in mind that your adding a lot of complexity story-wise by introducing three or four new cast of characters and settings. I think we often overlook the matter of complexity of the story to focus on the complexity of a given game system. While whether your players "Grok" or can understand the rules of a new system is fundamental for the success of any game, you also have to look at how deep you're players are going to and are going to be able to get into the story you're trying to partnership with them to tell. So, simplicity in system is going to save you a lot of headaches.
Something like Risus would be pitch perfect for an MARPG, but then again, the Basic Role Playing system used in Call of Cthulhu should also be straight-forward enough to get the point across. This isn't to say that you have to stick to one rule set. Keeping in mind that you want to have a consistent tone and message throughout your games, there's no reason you have to stick to one rule set. If you decide to jump around, it's even more crucial that you keep the systems simple and you know them backward and foreward and not have to look up a rule during the session. My gut tells me to stay with one system, but there are reasons we have different systems out there as they strive to do different things. It might make sense, for example, to switch between Risus and CoC during one MARPG if you can justify the change because both systems play strongly to the specific dressings of the scene. For example, look at the Animatrix as an anthology piece. There are so many different types of stories told, but they all add to the overall tone of the evil overlord robots and the message is simple: human nature is at once both destructive and incredibly creative. While these are consistent, the types of action from a group of kids exploring impossible physics to a badass training module run for two of the members of the human resistance. It wouldn't be appropriate to try to tell these stories all using the same system.
Pre-generated characters are a must. You can't waste time speculating between games about some player's random character's background as a farmer and whether he great corn or raised cows. This will kill your message and instantly destroy your tone (unless of course you're trying to play the MARPG in order to better understand Farmville). The need for pre-gens speak to a larger need for pacing through your acts. When you're planning each mini-game out, keep it focused on a specific scene or timeframe. Do your best to try to plan for a specific climax and enjoy the ride that your players take to be able to reach it.
So, what's the verdict? Do MARPG's sound like a viable option? I'll be honest that this is all vapor and theory at this point. If my Dragon Age game wasn't going like gang-busters, I'd love to give this a try. I may still put something together in the future, but more than anything I would love to hear what others think about the idea or even if anyone has a chance to run one themselves!