If you have a WordPress website, then...
Amazon S3 + CloudFront + S3MediaVault.com
.. would be your best option for securely delivering premium content in a membership site or online course, like Audio, Video, PDF, Zip, Doc, etc.
Please check out S3 vs. YouTube vs. Vimeo - it talks about YouTube vs. Vimeo vs. Amazon S3 for securely delivering your Videos, Audios, PDF's and more, especially if it's private content that you do not wish to be made public.
S3MediaVault can do streaming videos, progressive-download videos, both of which are secure, transcriptions, stats, etc). And then use a membership plugin like DigitalAccessPass.com (DAP) to protect your Pages and Posts and automate content delivery.
The advantage of using DAP and S3MediaVault is that if you wish to put some restrictions on your content (who can watch your videos, how many times, can they download it, or should they not be able to download it, etc), then making all that happen is a breeze. Or if you want the fewest restrictions possible, then that’s possible too. And then add SmartPayCart.com for payment processing, and you can have a full-blown online course delivery platform that can grow and scale with you as your membership grows.
If S3 doesn’t work for you for some reason (maybe because you don’t have WordPress), then Vimeo would be my next best recommendation for Videos. However, Vimeo cannot store or delivery Audio, PDF, etc. Using Vimeo, you also cannot create Audio playlists, cannot deliver encrypted streaming video etc. - all of which you can do if you used S3 and WordPress S3 Plugin.