They have an awesome tool for linking in YouTube videos, just choose Insert Video and give it the URL. But not everything is on YouTube, how do you insert arbitrary videos?
Well this is a hack, but basically insert a static image and then link it with Command-K to the video URL. This is not quite an embedded link, but it does work:

1. Screen capture the video image
2. Past that into the document
3. Then link it to the actual video.