It is easy to add a link to a video, but, if you do your site’s visitors will end up leaving your site to see the video and they may not return. It is much better to show the video in your WordPress post or page by embedding it.
Update: Timing is everything! With the release of WordPress 3.6 Video (and audio) embedding is now built-in. So you’ll only need to follow the steps below if you’ve not updated to WordPress 3.6. Read about the WordPress 3.6 update here. More