I use the Media Library so I can associate things together. I use WordPress to run a VERY small video blog. I upload videoname.jpg and videoname.flv at the same time, and my code looks for the image to use as the thumbnail and 'still' for the videos.

I haven't had any issues with file upload size yet, but I don't think I have a whole lot over 10megs. I like having them where I can easily cross-relate my meta :)