Well, to begin with there are a limited number of formats that you can import ... amongst them the only one I have ever used being Quicktime. In general, though, vidoe and Flash 5 aren't a great mix.
If you're intent on including video, I suggest creating "pseudo-video", where you open the clip in Premiere (or some other video editing software), export all the frames as a series of bitmaps, then imoprt all the bitmaps into a movieClip in Flash. That way, you have a symbol which "pretends" to be a video clip, but which is really a sequence of images.
The reason that this is better than importing Quicktime, for example, is that if you import Quicktime you must export the whole project as a .mov file, rather than a .swf, meaning that the filesize rockets, and movieClips no longer work.
Maybe you can export as a SWF if it's being played in version 6 of the Flash Player ... it might have more support for embedded Quicktime since MX has better video support in general.
Anybody else care to comment?