Best thing to do is check what data rate the videos are.
Compare that to the speed of the drive you are playing back on.
Also make sure the video files are in the root directory, or in a
folder not too deep so that your application doesn't have to search
for them for too long. If you are playing back on Windows machines
only, it might be worth importing as AVI rather than QuickTime to
make it a bit smoother.
Also have a look at the video cast member options inside
director - uncheck any that say "preload" or similar and check any
that say "streaming" or similar.
Hope that helps. The bottom line is that the smaller the
filesize and data rate of the video, the faster it will run. If you
practice with some video software, you will be able to reduce both
of these whilst retaining video quality - but be carefull not to
use a codec that is not available on your playback machine(s).