If you are talking about delivery formats, then using WMV.
If you are talking about intermediate formats, use Cineform AVI (found after you click "custom" on the AVI dialog).
Having several rendered videos in a Windows folder it may be good if they show up with thumbnails showing a picture describing the video and its tittle.
You can make such a tittle picture and put is as a single frame in the beginning of the timeline. It will show as a thumbnail, but with its duration of 1/30 or 1/25 second it will not disturb when you play the video.
Depending on how your machine is set up not all rendered formats will show up as such thumbnails - so if you want this feature to work on all machines you should use wmv.