To merge multiple (similar) video files into one big file, there are different ways.

avimerge

This only works with avi files. avimerge is part of the transcode-utils package.

avimerge -o output.avi -i file1.avi file2.avi file3.avi fileN.avi

If the sound doesn't match from the second file on, use the -c switch.

mencoder

This should also work with mpg videos. Install the mencoder package.

mencoder -oac copy -ovc copy file1.avi file2.avi file3.avi fileN.avi -o output.avi