Small cameras are usually still miniature coax, but sometimes the connectors change to be SMA/SMB or the like, occasionally LEMO, everything in the broadcast world is digital these days, analogue video is history.
The CCTV crowd has a digital video standard that is almost but not quite SDI, really tedious.
Increasingly we are seeing fibre used at the higher data rates, it is actually sometimes cheaper to install then coax because the data installers are familiar with it, where coax is more specialist.
For a security critical link I would be tempted to put a SDI->Fiber box at the camera then run armoured fibre and alarm on loss of sync at the receiving end. This also breaks any possibility of ground loops and earth voltage differences if you are running between buildings which massively reduces the potential for induced current damage from lightning.
'UHF' connectors are pure crap, quite apart from being a royal pain to terminate reliably, give me N type or 7/16th if it really matters.
Incidentally if ebaying for RF connectors, a good rule of thumb is that anything excessively shiny is probably a cheap knockoff and may very well have threads that are just slightly the wrong pitch (Been there, done that).....
Regards, Dan.