You can embed video into a post (like youtube to play in the post) but this depends on the BBCodes allowed on the forum, haven't seen any tags that allow it here but could be possible - is that what you mean?
I've got video on Photobucket, but when I've added it to a post it takes you to Photobucket rather than playing in the current screen (this forum) - is there a way to get it to play 'in situ' as it were?