There is a free plugin for Wordpress that lets you embed YouTube, Google Video and even video you host yourself. It's called Viper's Video Quicktags.

You can get it here: Viper007Bond.com » WP Plugins

I just started using it and only used it for a YouTube video so far, so I don't have a lot of experience with it, but thought I'd throw it out there if you want to try it.