"Embedding" multimedia content on your blog is easy and makes for much more interesting content than just linking to other webpages. What you're doing, metaphorically speaking, is opening a little window to content hosted somewhere else on the web, and allowing your audience to look through that window rather than actually going to another site.
Embedding a YouTube clip in your blog is one of the simplest ways to do this. YouTube actually provides you with the HTML code that you need, in that little field that says "embed". (When you look around the web you'll notice that a lot of other sites do this, too.) When writing your blog entry, use the "Edit Html" view, and just copy and paste the YouTube code where you want the video. For instance, here's the Clash video we watched in class. (If you use the "View" menu on your browser and go to "View Page Source," you can see the code that created this result -- search for "youtube".)