Once you want to share a video you have to chose a video type, here is a list of the available ones and their pros and cons:
3g: 3g is a phone technology, it is offered by carriers such as At&t, it will be a pretty small file but only recommended for 3g phone users.
Apple TV: Self explanatory, only use this if you have an Apple TV
AVI : This is a Divx file type, it is great because it keeps nice quality while reducing size, to play this with quicktime you need an additional plugin.
BMP: Originally an image type, this option is not recommended for basic users
DV stream: Digital camera's record into DV nowadays, this option will give a big file size for a nice quality
Flash video (FLV): This format is great if you plan to upload to youtube, it does, however, take very long to make the file.
Hinted Movie file: a file ment for quicktime streaming.
Image sequence: As the name states, images one after the other. great for making gifs
Movie to iphone and to ipod are self explanatory.
Mpeg-4: Streaming for quicktime, like a hinted movie file.
Movie to picture is self explanatory
Movie to quicktime movie: Recommended for most users, this makes a .mov file.
To get to the menu, click on share then share again, then click on advanced