To insert a video, you will want to use the video post option shown on your posts page.
Step 1: Click the video post option from your posts page.
Step 2: While on the video post editor, you'll see the option to input a direct video link URL. You can also attach a video from your computer up to 200mb (this will not be playable in the post however, patrons will need to download the video instead of being able to play it directly when viewing.)
We use embed.ly for embed support and here are the sites they support: embed.ly/providers
Step 3: In this case, we will use a YouTube video. Go to your unlisted or public video and grab the direct link. Insert that link into the video URL section of the posts page.
Step 4: Now that your video has been successfully pulled into the editor, just give your post a title and you are good to publish!
Related: How do I add inline images?