Importing video animation

Ok I've been looking and see nothing in JME/JMEX to handle importing video or movie formats,  is there something I'm missing?

Alternatively has anyone done this and can point me to some sample code that handles it?

If not that, does anyone know a good format such files can be converted to, from which you can easily parse individual frames?

And is there a faster way of loading and rendering frames than:

create a quad;

get frame;

convert frame to texture;

apply texture to quad;

get next frame;

convert frame to texture;

replace quad texture with new texture;

repeat till out of frames;

Hope someone can help, I can always make one out of individual images, but so far that tends to be way slower than I'd like, and makes for a huge number of images.

Sorry it took me so long to respond Hal, That was exactly what I was looking for, just took me a while of working through it all to get back here.  Thanks a ton, And especially thnks to llama, and the others that did the work on it.