There are 2 main options to use.

First watch this You Tube video on how to use YouTube in a wordpress blog.

Next install a really Cool plugin Called Viper Video Quick Tags.

it is pretty self explanatory you just use the settings tab and click on video quick tags.
They allow videos from all of the major suppliers.

YouTube
Google Video
Daily Motion
Vimeo
Veoh
Viddler
MetaCafe
Blip.tv
Flikr
Spike
MySpace

Embed and enjoy!

Ohh Yea and check out our ad exchange program at exchangemyad.com