recommendation: windowsMedia 9 vcm codec seems to be the best to start in-game. it supports millions of colours and is quite fast.
others:
cinepak radius supports less colours, is faster in compression and decompression, but has visible artifacts.
divX/mpeg4 looks best but needs a quick cpu and is not to use ingame.
if you want just to make a vid, choose mov (quicktime) sorensen. sadly, 3dgs does not support it.
XVID is recommended by many others, but i have only problems with it. i even cannot compress cause it freezes at rendering.
indeo has a bad colour support.