It's super easy to embed videos, images, tweets, audio, and other content into your WordPress site. This feature was added in WordPress 2.9 
To embed a video or another object into a post or page, place its URL into the content area. Make sure the URL is on its own line and not hyperlinked (clickable when viewing the post).
Check out this cool video: http://www.youtube.com/watch?v=dQw4w9WgXcQ That was a cool video.
WordPress will automatically turn the URL into a YouTube embed and provide a live preview in the visual editor.
[embed width="123" height="456"]http://www.youtube.com/watch?v=dQw4w9WgXcQ[/embed]
If WordPress fails to embed the URL, the post will contain a hyperlink to the URL.
The easy embedding feature is mostly powered by oEmbed, a protocol for site A (such as your blog) to ask site B (such as YouTube) for the HTML needed to embed content from site B.
oEmbed was designed to avoid the need to copy and paste HTML from the site hosting the media you wish to embed. It supports videos, images, text, and more.
No, not by default. WordPress will only embed URLs matching an internal whitelist. This is for security purposes.
You can use all of these:
|Cloudup||Videos, Galleries, Images||WordPress 4.4|
|Flickr||Videos & Images||WordPress 2.9|
|PollDaddy||Polls & Surveys||WordPress 3.0|
|Posts & Comments||WordPress 4.4|
|SlideShare||Presentation slideshows||WordPress 3.5|
|Speaker Deck||Presentation slideshows||WordPress 4.4|
|Social media||WordPress 3.4|
Adding support for an additional website depends on whether the site supports oEmbed.
If a site supports oEmbed, you'll want to call wp_oembed_add_provider() to add the site and URL format to the internal whitelist.
You'll need to register a handler using wp_embed_register_handler() and provide a callback function that generates the HTML.
If you wish to remove an oEmbed-enabled provider, you'll want to call wp_oembed_remove_provider.
As of version 4.4, WordPress supports oEmbed discovery, but has severe limitations on what type of content can be embedded via non-whitelisted sites.
Specifically, the HTML and Video content is filtered to only allow links, blockquotes, and iframes, and these are additionally filtered to prevent insertion of malicious content. The HTML is then modified to be sandboxed and to have additional security restrictions placed on them as well.
However, if you feel you are knowledgeable enough to not require this level of safety, you can give
unfiltered_html users (Administrators and Editors) the ability to embed from websites that have oEmbed discovery tags in their
<head>. You merely need to install Enable oEmbed Discovery plugin. This is generally not recommended.
The oEmbed discovery content for "link" and "photo" types is not quite so heavily filtered in this manner, however it is properly escaped for security and to prevent any malicious content from being displayed on the site.