If you want automatic transition between a number of videos the simplest way is to use the Switch Video Smooth module.
You can select between several cross-fading modes and you can specify the transition time.
After that you only have to switching the Selected property and the transition is automatic.

If you need manual transition between two videos the basic module for that is Crossfader.
Moving the Fade property between 0 and 1 controls the transition.

You can also do effected transition. There are a number of preset compound for that you can find in [Common]:Compounds\Transitions.

In the example the Phase property controls the transition:

Of course you put together you own effect, too.
If you want to examine how the existing ones work, just Alt + Double-click on the compound to open and enter it.