CNN videos will not play most of the time on the iPhone or iPod Touch when attempting to access them right from cnn.com. After some searching and weeding through sites that claim to allow you to play embedded flash videos from your iPhone I located vTap. This site actually does allow you to convert videos on the fly and play them through a playlist organized on vTap.com and its all really easy.
To watch CNN video on your iPhone just follow the below instructions. This should also work for most other sites out there that you are having a hard time viewing the video on your iPod Touch or your iPhone.