I haven't got much experience with compressing AVIs, but you might try making compressed disk images of the files and then burning those... it's a trick I use when doing backups. It's especially nice cause you can get your file(s) out again without copying the compressed file to your HD and uncompressing (like you'd have to do with a .sit file for example...)
just an idea... alternately, if you just need this for transportation, I think all the stuffit apps, maybe disk copy, and probably one or two other extra apps have file splitting options, but that would require them to be reassembled at the destination, so you wouldn't want to use that method for storage.