I've done one with animated gifs. My game Pongageddon on the arcade has a cutscene if you lose in the second stage.
However, Using gifs are low quality and increase the size of the game file. I had to cut it in half in order to get the size right for the arcade.
What you can do is upload your video to youtube for your cutscene and then you the broswer plugin for Open URL in new window. I would suggest creating a custom page that has the Youtube video embedded in it and nothing else. This gives you the option to make it autoplay.
It's easy, just copy the embed code next to the video on the YouTube page, & paste it wherever you plan on embedding the video. Next, erase everything in the embed code that comes before "<embed>" & after "</embed>".
Once you do that, there should be a url inside the code [that starts with http://] in quotations. Click inside there & in between the last character of the url & the closing quote, type:
Autoplay is basically a boolean you set to on when its equal to 1.
Edit: Angry Birds does something similar to this.