All you need to do to embed something into a post or page is to post the URL to it into your content area. Make sure that the URL is on its own line and not hyperlinked (clickable when viewing the post).
The easy embedding feature is mostly powered by oEmbed. This only works with select services:
YouTube
Vimeo
DailyMotion
blip.tv
Flickr (both videos and images)
Viddler
Hulu
Qik
Revision3
Scribd
Photobucket
PollDaddy
Google Video
WordPress.tv (only VideoPress-type videos for the time being)
SmugMug (WordPress 3.0+)
FunnyOrDie.com (WordPress 3.0+)
Get the content address
From the media you would like to use get the url for the content in this case it is a Youtube video. (http://www.youtube.com/watch?v=_eq3Sj1GGs8)
Create a blog post
Go to the dashboard of your blog and create a new post. Add some introductory text then add the url.
Pulbish post
When you are finished remember to view your post to see if everything is OK.