You can upload video to your web site or use services like YouTube or Vimeo. There are lots of other video sharing services out there if you want to try them.

Hosting on your site

If you host your own video then you need sufficient disk space and bandwidth, however, you retain greater control of the files and can offer them in any format you want such as Quicktime, Flash, etc. Having said that, you should really use Flash because most browsers already support it (not on the iPhone though).

YouTube

Now, YouTube is a great option because it works on the iPhone and they provide the space and bandwidth needed. Downside may be lower video quality and less control but these are fairly minor issues in light of the broader benefits of using YouTube.

Vimeo

Vimeo is really nice because the video quality is better and the player looks nice, however it does not work on the iPhone (as of this writing).