Before you put any type of media on your website, it's important to make sure that it's optimized for the Internet so that it loads and plays quickly and smoothly. To learn how to optimize audio files using iTunes, check out this info.
As far as video files go, FLV is the best format to use on your site. If you don't already have a tool that will allow you to create FLVs or convert other video files to FLV format, there is a great (and free) tool at http://www.flvencoder.com/