Depending on your niche, you might host your own videos (i.e. private video content to members), but more often than not - using Youtube, Vimeo, MetaCafe, etc. to host your videos is the better solution.
Not only do you get additional traffic to your site because it's on a searchable platform, but you are building your site's authority.
Use good Titles, tags, and descriptions. And link to your site in the description (It's nofollow, but you still get authority anyway). You'll come out well for doing that.