I wrote an article about integrating a YouTube video into SharePoint 2010. There is now an easier way of doing this:
You can see that a new option has been added to the Video and Audio Ribbon action: Embed.
Just enter the code and look what happens:
A really cool preview screen appears! Nice! You are only missing the web part options you have with the media player web part. Instead, you can edit the HTML of the page and change the format settings of the video.
I am using the Office 365 SharePoint Online preview for this article.
Stefan Bauer created a post about this subject but also talks about the security aspect of iFrames. Check it out here: