Streaming video (And audio too) can be problematic. It involves seperate server software which can cost you a bundle. Either way, its yet another thing to administer.
The cheap way is to use MPEGs, or anything else that is block encoded. This way the user can play the file as its downloading. They have the feel of streaming (because they are), but the stream is just unregulated.
You can stream many formats over plain old HTTP. Using HTTP has become the default delivery method for many small sites as licenses for Real Server and other streaming servers can be expensive.
On an iworx-cp box you can fairly easily stream wmv/wma/mpg and real formats.