Actually, the music video situation on iTunes is much like the music situation pre-all-or-nothing-conversion: some have DRM and some are iTunes Plus without DRM. If you're going to buy a video with the intention of burning it, make sure it's Plus (denoted by the + next to the price). If you already own it, make sure it says "Purchased MPEG-4 video file," not "Protected MPEG-4 video file" in the Kind column in the browser or in Kind in the Summary tab of Get Info.
There's no facility to burn video within iTunes, but the Plus versions of videos can be burned using most DVD creation software, including iDVD. Good luck!