Whilst we have some scripts to do this in /u/videotools/scripts that run the 'mencoder' program, but it's easier to use the 'mencoder' program directly:
mencoder mf://\*.jpg -mf fps=30:type=jpg -o movie.avi -ovc lavc -lavcopts vcodec=mpeg4
This example takes all of the '.jpg' files in the current directory ('*.jpg') in alphabetical order (which works if they are numbered correctly and there are no other JPG files in that directory) and makes a '.avi' movie called 'movie.avi' displaying the images at 30 frames per second ('fps=30'). Note that if you change the file type to (say) '.png' you have to change that command line in two places.
Note also that we specified to use the 'mpeg4' codec - there are other options there too that may affect quality and/or file size.
To generate a '.mpg' video, I have used:
mencoder \*.jpg -mf fps=60:type=jpeg:on -of mpeg -o movie.mpg -ovc lavc -lavcopts vcodec=mpeg1video:vhq