Most videos are usually uploaded to YouTube and then embedded into your site using an embed code easily accessible from YouTube itself. This saves you having to host the videos yourself which can take a lot of space and place significant stresses on your hosting with potential of slowing your site down. You must always maintain the user experience when building your sites if you want to place highly in the search rankings.
Aside from naming the file before uploading it, you have an opportunity in YouTube to write a description for what your video is about as well as placing links in this description field. This is a great place to steal a few good links to your site or possibly to your other videos, all of which will help. With the YouTube editor you can also build clickable links into the videos themselves that can lead your viewers to other locations as you desire which can be another useful source of links in your link building efforts.
You can also build as many links to the location of your video on YouTube. You will not be penalised for this because YouTube is owned by Google and Google will not penalise itself for having too many links or the wrong type of links. This can increase the authority of your videos.