Actuall, you want to save in AVI since there is an uncompressed option. It's only been in the last few years that people have been DIVX encoding AVI.
In animation, we either use OpenEXR or TGA (with RGBA options) to make compositing a lot easier down the road.
Divx is a recent encoding engine, it's true, but avi has been compressed a long time ago, the DivX technology it is only much more efficient. The disadvantage of using uncompressed AVI is about the file size and the computer capacity required to manipulate such file.
I suggest to use files for each frame instead using video files, except for MOV file when you are editing under a Mac platform.