I'm extremely in favor of this. It is pretty much standard on forums these days. It simplifies and consolidates browsing. If you wanted to post a series of scouting videos, it's pretty silly to have a bunch of links that open in another window/tab when you could view them all in thread.
Links work fine. Keep crappy flash junk out of my forum experience.
Honestly, I don't click on random Youtube links at work unless there's an explanation of what it is. Which you don't get from a URL, but you would get from an embedded video. I skip over tons of youtube links on this site as a consequence.
I don't see how an embedded video is more of a security risk than a youtube link that people click on, maybe someone can school me on that.