How can I send video from my Arduino camera module video to my Android screen?
The feasibility of transferring live video over Bluetooth from an Android mega is low but not zero, being constrained by the following:


Bluetooth practical throughput limitations: 

Bluetooth 1.2 = ~ 700 Kbit / sec
Bluetooth 2.0+EDR = ~ 2.1 MBit / sec
Bluetooth 3.0+HS, 4.0: These use a separate wireless path (e.g. 802.11, like WiFi) for the high speed data, so not considering these for now.
Low-resolution (VGA 256 color) live video needs at least 200 KBPS, HD needs 2 MBPS or more, sustained bandwidth. That's the reason there aren't many live video streaming Bluetooth gizmos for smartphones yet.
Work-around: Use a WiFi shield instead of Bluetooth for communication.

Arduino Mega limitations: 

Capturing, processing and compressing live video in real-time, even at VGA resolution (640 x 480 pixels) is going to be quite a challenge for the ATmega2560 microcontroller, if it can be done at all
Memory (RAM, Flash, whatever) will be another challenge: A single frame at VGA 256 color resolution requires over 300 kB for just the frame buffer, twice that for higher color depth. For MJPG or other encoding / compression, a minimum of 2 x Frame Buffer Size would be needed for processing. This necessitates an external memory solution added to the Arduino Mega.
Work-around: Perhaps an external shield with video capture and compression, with an on-board DSP and frame buffer RAM, could be used, if you find any such. 

In which case, the Arduino Mega isn't really needed any more.

Are there Bluetooth modules, XBee / ZigBee modules, or shields, which can sustain the maximum throughput rates noted above? If there are, that would be interesting to know.

Android Phone constraints:

Does the current Android OS release support video endpoints via Bluetooth yet? If not, low-level code will be required at the Android side, just to retrieve the video stream data.
The processing requirements for displaying such incoming raw Bluetooth video streams would require hefty batteries, or permit very short operating duration unless docked to a charger.
Work-around: Use WiFi, stream from Arduino using a standard streaming video protocol, use a standard Android video player with streaming support to play the stream.



As is evident from the points above, the requirement is feasible, as long as constraints are accepted: Very low resolution, low color depth, low frame rate video, OR... all video processing offloaded to a DSP daughterboard more powerful than the Arduino itself, with its own on-board wireless connectivity. 

That last is the work-around the question asks for.

Whether this is the practical approach at all, is up to debate.