Convert the document type to HTML5 (if you are using CS5/5.5) and use the HTML5 video tag:
<video width="320" height="240" controls="controls">
<source src="movie.mp4" type="video/mp4" />
Your browser does not support the video tag.
You will need to encode the video as MPEG-4 which will work in Safari, Chrome and IE9 web browsers as well. There are 2 other formats, OGG and WebM which will allow it to work in Firefox and Opera, but you are more likely to come across encoders for MPEG-4 as opposed to OGG & WebM (if anyone recommends any good Mac converters for those formats I'd be interested in hearing about it).
See Pickle Player
It uses HTML5 <video> and MP4 source files for all browsers and devices that support it with a Flash Player fallback for the only browser that doesn't (Mozilla). The beauty of this method is that you don't need encode multiple file types to support the various web devices/browsers.