The movies from the UMovieMaker beta release are encoded with Quicktime Animation, which is lossless, quick to export and easily processed to other formats. It means huge files, but that's not UMovieMaker's fault.
If you need lossless compression you can re-rencode files as QT PNG, for Vimeo or web use you can use H264 which will give you radically smaller (but lossy) files. There are several Open Source compression tools to choose from, or you can use Adobe Media Encoder, QT Pro etc.