Wordpress 2.9 just made it easier to embed videos. Paste a URL on its own line and sites that support Oembed magically turn it into the proper embed code. Currently that is YouTube, Daily Motion, Blip.tv, Flickr, Hulu, Viddler, Qik, Revision3, Scribd, Google Video, Photobucket, PollDaddy, and WordPress.tv (and more in the next release).
If you see the video below that means it works. How simple is that? Enjoy this Q&A with one of my favorite comedians