Correct me if I'm wrong but what you're asking is which format should you use to download them in, is it not? It doesn't matter really; what's more important is that once you've downloaded the file, which player will allow you to play the file properly. Does it have the correct Codecs to enable you to see and hear the video? The file will have a three letter file type at the end of the file name, like .avi or .rar. There are many others.
If you're using Windows Media Player, try that first. It will tell you at once if it can not play the file. If not, I would suggest downloading the VLC player. There is also Real Player. All are free in their basic forms. Good luck.