cello95's point is valid- The image isn't anywhere NEAR as compressed (physically, doesn't really appear) as when it's an AVI, plus you can do sweet stuff in frame-by-frames, like muzzle flashes.
I personally prefer rendering out as a large (720p or 1080p) .avi file, since I generally don't find too many problems working with a slightly compressed video where I don't have to combine frame-to-frame in post.
Edit:
And @ dwsel: That actually works?!?!? I've never put my mind to giving it a try... I have 4 cores, and I haven't honestly thought that each one could render a section at the same time! It's brilliant, and I'll definetly keep it in mind for my upcoming works.