Most cameras save clips in .mov (Quicktime) format, which most (all?) DVD players don't understand. You'll need to get a converter like Super or WinAVI (the latter will need the Quiktime Alternative codec) to convert the files into something DVD-friendly. If you are using a CD, it will either need to be mpeg for conversion to a VCD or (assuming your DVD handles DivX) a DivX/AVI file should play.
Unfortunately, the quality (after being converted and blown up to TV screen size) tends to be a bit poor!