Are you trying videos from your computer to your iPhone? If so the iPhone only allows a handful of formats such as .mp4. If your movies are in .avi or .mpeg format they will not sync. You will have to convert them to .mp4
After converting them you can either click and drop them into you iTunes or as stated above, choose the movies tab in iTunes and check the sync box and choose the movies you want to sync over.
But if you are trying to sync videos taken from the iPhone to the computer, iTunes usually syncs it to your iPhoto library under new events. Let me know if you still are having trouble.