http://www.youtube.com/watch?v=3o2qbrvNzn4
Or use the short link
http://youtu.be/3o2qbrvNzn4
Or you can embed it using the [ embed] shortcode
[ embed]http://youtu.be/3o2qbrvNzn4[ /embed]
Or you can embed it using the iframe tag (YouTube gives you the code to copy and paste)
<iframe src="http://www.youtube.com/embed/3o2qbrvNzn4" frameborder="0" width="420" height="315"></iframe>
BUT, if you wanted to do something a little different then it gets a little trickier.
Note: In these examples the video being used is A Very Smelly Grumbly Oik