What method are you using in your Compression Settings (accessed via the Set... button from the 'Create Fly Through' dialog).
I have found the Sorenson Video algorithm gives very good results, with small file sizes.
Also most users can get away with True Color - 24 Bit, as they don't need the extra channel, which will result in smaller file sizes.
Having said all that, I have created .mov files that needed to be burnt to DVD. Kinda sucks when you play them, because they tend to jump around at first. This is when you should consider converting them to DVD format!
Cheers,
Link.