First comment is that you should talk to a lawyer about this, since should get qualified legal advice that is relevant to your specific situation.

As a guide... you cannot put anything in your film that has underlying rights (ie. copyright owned by someone else) if you plan to show the film to anyone other than for your private enjoyment (or perhaps that of your pets).

Many rights-holders, particular record companies, will offer reduced rates on copyright clearences for limited distribution (ie. festivals only), but you still need to get these rights and it may involve money.

In general, if you are planning to use copyright material in your film you should clear all of the worldwide rights first, since trying to do this later down the track can be more expensive, and most distributors will look at your work unfavourably if they are expected to foot a massive rights bill before they can release your film.

filmmaking.net