As far as anyone knows there is no way to put malicious code in a video file. What you should be worrying about is how you get those files.
If you're torrenting then you have to worry about copyright trolls contacting your ISP. If you're using file-hosting websites just vet your downloads and make sure you don't run any sketchy executable files. And it should go without saying, but don't escalate privileges for unknown programs.
I remember I called something "Really Stupid" in response to something someone else said that was really stupid, and I was banned for using an ablest slur.