I was aware of oEmbed as Obox uses it in their video meta boxes, but I really didn’t know much about it. What I didn’t know is that all you have to do to use it is paste the link to a video or image on a new line and WordPress will automatically go out, find and return the media. If you want to see what sources are whitelisted by default, please see this codex entry. I found out about this from a video from WordPress Montreal 2011 starring Otto and Nacin. There is a lot of really cool things in that video, you should really check it out.
Note: The video was embedded in this post by just posting the url on a new line in the WordPress visual editor
P.S. Don’t forget to set your $content_width constant so WordPress knows how large to make your media.
if ( ! isset( $content_width ) ) $content_width = 584;