If you plan to post your videos on your website then file size is an important consideration. Moreover, you have to make sure that the videos are viewable over the highest range of internet speeds.
Windows Media and QuickTime are better suited for the internet as compared to MPEG as they can be streamed and produce smaller files. On the other hand, MPEG is the most portable video format amongst various hardware devices and has better quality.
For Windows Media, simply select a profile best suited for your internet audience. The profiles configures all quality and bandwidth issues automatically.
For QuickTime, the best way is to experiment with different video and audio compressors to get an acceptable video/audio quality with least file size.
For MPEG, you must create a standard complaint file. For example, if you want the file to play on any VCD/DVD player (after burning) then create the MPEG movie in VCD format.
For Windows Media and QuickTime, it is best to create 2-3 different video files at different bit-rates and varying quality. Your audience will be able to view a video with a bit-rate less than the internet bandwidth available to them.