It is a hassle to have to download a video (or audio) clip before being able to view it. Streaming video/audio allows you to send information to the end user such that they can watch/listen while it is being downloaded (instead of having to wait for the complete download).

While HTTP streaming is relatively trivial (often used in conjunction with Java - it sends the data to the end user, where it is immediately decoded), support for streaming formats such as QuickTime and Realvideo need to be supported by the web host.

Most web hosts do not offer this feature due to the costs associated with streaming video (licensing fees, increased server load, increased bandwidth consumption, etc). You will have to talk to your web host to see if they support this feature.