First, you need to be a bit more specific. Are you burning these videos to a DVD for use in a DVD player with a TV and such? Or are you just burning them to the DVD as data for backup? If your just burning them as data for use with a PC, then file format is irrelevent, as long as it worked before you burnt the disk. If you wish to burn a DVD with a menu and such, for playback on your TV through a DVD player then read below:
You cannot just drop an .mpg file onto your DVD and expect any DVD player to play it. You have to encode it first so that the DVD player can understand it. Best way imo is to convert all your videos to MPEG-2 then find a DVD Authoring program to build the DVD. It will do all the encoding for you. You can also use a *** to DVD converter program (basically authoring) and then burn those files directly to your VIDEO_TS folder which you will see when trying to burn a DVD Video disk in Nero. However, with the latter method, making a menu may be a bit difficult. I've never tried it that route. If you burnt them straight to your VIDEO_TS folder with no attempt at a menu, I believe the DVD player would just play them in order.
A good DVD Authoring program I use is DVD Architect. It allows you to import pretty much any video file (not XviD for some reason in my experience) and make a menu. It will do all the conversions and authoring for you.
Hope this helps, and if any of the more experienced people see an error in my advice, please speak up. I'm somewhat of a newbie here as well ;)
