i know this question seems to be getting the hall of fame mark, but i cant figure out the best settings to export my HD footage, from premier, i usually mpeg2 the sequence and i get a great picture and sounds and even a reasonable filesize, but the same settings dont seem to work with after effects, is it something really lame that i'm not looking properly or its more than that, please help me out here.
You should never use a lossy/compressed file format for intermediate files. The more times you introduce compression into the mix, the lower your final footage quality will be. Also, After Effects (especially earlier versions) doesn't play well with codecs that use interframe compression (such as MPEG). To be honest, it would be difficult for you to pick a worse thing to do.
If you're using After Effects CS5, I would just suggest importing your Premiere sequence into After Effects. It'll come in as a composition with the original footage with your edit. It will give you the most flexibility and you won't have to worry about generational data loss with exporting various codecs.
However, if you've got an earlier version of AE or if some of the effects and things you've applied in Premiere don't come over in an import very well, you will want to find a workable intermediate codec. You want it to be lossless to maintain quality, but a decent file size would be nice too. I have had good success using Quicktime with the PNG codec (not a PNG sequence). Others may have other suggestions, but that seems to work for me.