I would say start in our fledgling Forum Library, where there is a thread that covers the options.
At the time of writing Flash video (FLV) is the dominant format - you don't necessarily need Adobe's authoring software if you find the expense prohibitive as there are open source ways to create FLV files (e.g. ffmpeg) and numerous free or cheap "players" such as FlowPlayer (though in my view nothing is as good as Flash itself).
There are many other formats to choose from and things can change very fast, but Flash currently has the widest installation base amongst users and better cross-platform capabilities than most.
All of the above assumes you are not targeting handheld devices.