Given the link to an image like https://link.to/my/image.jpg, it is easy enough to embed it in obsidian: ![alt](https://link.to/my/image.jpg). This displays the image inline.
Unfortunately it doesn’t seem like this works for video. ![alt](https://link.to/my/video.mp4) just does nothing (well, it displays a “missing media” icon and the alt text). But Obsidian clearly can play videos because <video src="https://link.to/my/video.mp4"></video> works. But it’s annoying to have to type that out — generally I’d like to stick to markdown over HTML.