The feature has been implemented for a while, but now it's easier to see so I'll write a quick how-to.
For videos located on other sites:
Write the words for the post that you want, then copy the location of the external video. It should be something like Http://www.youtube.com/2390423
or something like that. Paste the address into the post. Highlight the post. Click the appropriate icon above the smileys on the left side (Windows, Realplayer, youtube, etc). That will put tags around the address. Hit post and you're done.
To put videos here on the server:
Maximum video size is 10mb right now unfortunately. If you want something bigger let me know and I'll add it myself via FTP.
Go to the gallery (http://www.slednutz.com/cpgallery
) and put the cursor over the house. A small menu appear. Click the "upload file" link. Click "browse" and find the file on your PC. Click continue. Click continue again. Enter the information that you want (label, description, etc) and select the album you want to put it in. Click continue again. Navigate to the album that the video is located in. Click on the video you want to imbed. Click the video one time. Right click the video and select properties. Highlight the location and right-click it. Click copy. Go back to the post you want to imbed it into. Click paste where you want the video to appear. Highlight the location. Click the button above the smilies to the left that applies to the type of video you are trying to show. Click "post" and you're done.