I usually embed vids, I think someone is more likely to click them and give them a look then just including links, especially since some vids have nice title cards that were designed to catch a person's attention. I think the whole point is trying to get as many people as possible to see this amazing vid you love, and I know as a sometime vidder I always want more views.

I think I only time I wouldn't embed is if you are making a really long rec list, like a post with 2-5 embedded vids is fine, a post with thirty would be a little too much. In the case of really long rec lists maybe embed a few key vids and add links for the rest.