I have already toyed around with the video entities and created an animated sky, just a video of a skycube with 360° rotation. Looked ok and the performance was acceptable even with a size of 1000x500, but I only used 60 frames with 5 fps, I don't know how it behaves with more frames. For a lightning strike like in the screenshot I wouldn't use video entities, because it would be too repetitive then. I would use several spirte layers instead, for example a sky background, a randomly played lightning sprite and some moving clouds on top.
