We've had no problems setting up a CNAME for our bucket on Cloudfront, if the type is "download", but the same process doesn't seem to work for a streaming bucket.
Following the instructions on the amazon setup tutorial, we've:
1. Create the streaming bucket in cloudfront. video.ourdomain.com.s3.amazonaws.com
2. Add CNAME in cloudfront by clicking "edit distribution". We've given the CNAMe as cdn.ourdomain.com.
3. This also creates a cloudfront distribution e.g. (xyz.cloudfront.net)
3. In our dns management (dnsmadeeasy.com), we create a CNAME called cdn.ourdomain.com. That CNAME points to (xyz.cloudfront.net)
When i try to check it out by going to http://cdn.ourdomain.com/test-image.jpg, i get a browser error "server unexpectedly dropped the connection".
Has anyone else experienced this?
I'm trying to use the CNAME to point to an XML playlist, cdn.ourdomain.com/playlist.xml. That playlist includes videos cdn.ourdomain.com/video1.mov, etc.
It all works fine if i skip the CNAME and just poing to the playlist at video.ourdomain.com.s3.amazonaws.com/playlist.xml, that includes our videos (e.g. video.ourdomain.com.s3.amazonaws.com/video 1.mov), etc.

I'm having this exact same problem. The only difference in my setup is that I read on more than one occasion that your CNAME needed to match your bucket name, so:
bucket = video.mydomain.com.s3.amazonaws.com
CNAME = video.mydomain.com
However, I am still experiencing the problem you are having when trying to view my streaming FLV file.
I need to start a thread of my own to see if the JW techs can look at my code too :)