There are many video file formats to choose from when creating video streams. The most common formats are:
MPEG (in particular MPEG-4)
There are pros and cons for each format but in the end it comes down to personal preference. Be aware that many of your users will have their own preferences and some users will only use a particular format, so if you want to reach the widest possible audience you should create separate files for each format. In reality this isn't usually practical so you need to make a judgment call on which formats to provide. Obviously the better you understand all the options, the better your decision is likely to be.