No, it doesn't really make a difference once it's in the VSE (except for quality differences which don't have so much to do with the format as with the settings for the format). It just makes it so that, when rendering, you don't lose the entire movie if something bad happens (say a power outage on the last frame...ugh). If you are rendering straight to a movie, and Blender crashes, you lose everything. If you are rendering to a series of images, and Blender crashes, you only lost the image it is working on at the time (i.e. you can fire it back up later and start where you left off). Then you can import an image sequence into the VSE.
If you already rendered to a movie, no worries -- there isn't anything "image sequence specific" per say in the VSE.
The key is the output file type setting in the render tab of the properties window:
Make sure it is set to an image format (jpeg, png, etc.) before you render.
Then in the VSE...
...click the "Add > Image" (Shift+A) instead of "Add > Movie". The file browser will open and you can navigate into the folder your image sequence is in, and then select all the images that were rendered.