It's possible to include video in PDF files to view on the Reader for mobile devices; however, you'll need to use the Attachment pane in Acrobat to include these in the PDF. It's not possible to view video embedded in a PDF using the Multimedia embed tool in Acrobat 9 or X. So, the resulting video won't be viewed inline with the document.
Attached are two files: a PDF with an attached video and a PDF Portfolio with a video file. Here is a link to a the sample video file:
It's also important to note that not all formats are supported. The built-in media player on the device is used, so it will only support formats that the device supports. Here is a good list of those formats: