Simply make a new widget in the sidebar, add a text widget and post in the embedding Code and save it. Well, You wil have to adjust the resolutions to be fit there Done
I usually did like what extremephp said, but if you are like me (n00bie lol) i have made a video how to add videos in your sidebar here, or add random videos (more than one, and will be displayed randomly) in your sidebar here.
Get the code and put it in a text widget. Alternatively you could buy Thesis which supports a multimedia box which displays pictures and videos.