Self hosting videos often seems to cause more headache than anything.
It is possible, and plugins like vipers video quicktags has worked for me before. BUt it seems like self-hosting and embedding videos often fails. And if you plan to have video posts become popular, this can really chew through your bandwidth, and if your hosting isn't quick, there may be performance issues as well.
If a couple folks are watching your video at the same time, and then more folks are trying to visit your site, your bandwidth and performance will suffer.
It is often better to use a video service (youtube, vimeo, etc) and embed to your site. This helps performance tremendously. I used to be adamant that I wanted all my resources on my site, on my server, controlled by me. I gave up on that a while ago, and just use youtube for video now.