I watch them on a 120" projector screen, outputting from PC via dual DVI outputs, directly from iTunes. I'd prefer to have the files in .wmv or .avi format, as then I'd be able to stream from my PC to PS3 using TVersity Media Server without having to set up the computer screen.
I agree with some of the comments: having a single file to download would make my life much easier. Having to download a bunch of zip files, open them up, import them to iTunes, and watch them one-by-one (haven't found a way to continuously play video files in iTunes) is quite annoying. Having a good selection of video formats preferably in one (zip or not) file would go a long way towards easing that.
A huge advantage is the lack of DRM, which I extend my sincerest thanks to you, Michael, and whoever else is involved. I wouldn't touch a DRMd file at all due to the additional hassle involved, treating customers as potential criminals, and the possibility of losing access to the files when/if something goes wrong.
And to ease bandwidth pressures, going to an optional torrent download might help. You could set up a passworded torrent tracker and offload much of the bandwidth to elsewhere. This would be especially useful during the first few days of releasing a new video. Pure Pwnage
(a Canadian computer gaming series) has been using bittorrent for years very successfully.