Concatenation of video files can be done quickly from the command-line, video files must "match" (e.g. a movie formerly split into parts) i.e. they must use the same codec and parameters, this methods won't work as expected with random files.

• AVI files: Use mencoder with multiple inputs
  $ mencoder -oac copy -ovc copy -o output.avi input1.avi input2.avi [...]
• MPEG files: They can either be concatenated directly:
  $ cat input1.mpg input2.mpg > output.mpg
  Or the mencoder method, which I prefer, can be used (note the output format must now be set):
  $ mencoder -oac copy -ovc copy -of mpeg -o output.mpg input1.mpg input2.mpg [...]
• Quirks and other formats:
  • The mencoder method won't work for multi-audio files
  • mencoder has worse support for other formats, they might require an intermediate transmuxing to avi.

I'll update this post if I find better ways or alternatives to do this.

References:

• http://lglinux.blogspot.com/2007/09/concatenate-avi-files.html