You can add videos other than those purchased from the iTunes Store to iPhone, such as videos you create in iMovie on a Mac or videos you download from the Internet and then add to iTunes.

If you try to add a video from iTunes to iPhone and a message says the video can’t play on iPhone, you can convert the video.

Convert a video to work with iPhone:
Select the video in your iTunes library and choose Advanced > “Convert Selection for iPod/iPhone.” Then add the converted video to iPhone.
Source: apple.com