IMHO, a good compromise between avi and mpeg would be QT.
Depending on what kind of control you want over these movies (just like the usual play, pause, stop, and the sort kind of control), I know Dave as some particular uses such as the unusal reverse play, you might even consider stream encoding with Realplayer or the Windows MediaPlayer.
Encoding at high bit rates, since you're on a cd, will assure very good quality and cuts down the size of a file tremendously!
;-)