Okay..

To use vimeo or youtube I have to upload my movies to their servers. This I don't want!

My question was more regarding the file extension (.flv; .mp4 etc.)
OpenShot can export the following combiniations:

AVI (h.264)
AVI (mpeg2)
AVI (mpeg4)
FLV (h.264) <- this one I used now
MOV (h.264)
MOV (mpeg4)
MP4 (xvid)
MP4 (h.264)
MP4 (mpeg4)
MPEG (mpeg2)
OGG (theora/flac)
OGG (theora/vorbis)
WEBM (vpx)

Any suggestion? Why?
I mean, I can use google to answer it by myself but since we have started the conversation..maybe you have any suggestions.. I just started with making movies...

My suggestion would be the same. I always use these services since I do not have to care about the format or the medium that it is being served to.

If you insist that you self host the video then I would go with MP4 (h.264) . MOV (h.264) is good too check caniuse.com/#search=mov