To link or embed videos?

I will be hosting a moderately heavy video/picture blog and wanted to get some opinions from you guys.

I’m not worried about having the fastest site on the block but I do consider it a necessity to stick as close as possible to an “average” load time for my website.

I want to embed the videos so that people are encouraged to click them and read the articles, as well as view from my site, rather than leaving to go to Youtube through another window (and probably losing their focus while theyre on Youtube).

I know I have seen some blog pages that replace embedded videos with links after they get pushed back to the 2nd page. As well as plugins that help to speed up the loading process.

What are some things you guys do to reduce load times on your media heavy websites?