If you've ever downloaded several video files that made up a complete <insert description>.  There is a very simple way to join them up.

Say you had 3 files video1.avi, video2.avi & video3.avi.  Now provided they've been encoded with identical settings, just follow this process:

1) echo "file 'video1.avi'" >> list.txt
echo "file 'video2.avi'" >> list.txt
echo "file 'video3.avi;" >> list.txt

2) ffmpeg -f concat -i list.txt -c copy video.avi

That's it!