Your “ajax-y method” will be the only way to speed this up. Large sites are going to use CDN and have good caching. There are not many ways to store large files ...
Saving an object or video tag from HTML, and then adding it after the page loads, will improve the perceived page load performance. Perhaps swap the screengrab image to be the same size as the possible video ...
These are the first days for the video tag, but it is possible that in the end, its initialization time will be faster than Flash, since this is part of the browser, and not a third-party plug-in.
Most of the video download time depends on how the video was encoded / transmitted, which is out of your control, it sounds.
Ozten
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