This is by far my favorite feature that just works in Live Writer and you might not even think about. The feature is when you type or paste URLs from many different sites that point to a video Live Writer just converts the URL to the embedded video.
For example “http://www.youtube.com/watch?v=PdTWf8oWjdg” is the URL to video that I took on my cell phone of Mike McCready of the band Pearl Jam playing the US national anthem at a Seattle Mariners game. When you type or paste the URL into Live Writer it will just convert it to the video itself since Live Writer knows about the format of the URL for YouTube.
Try it out with any URL on YouTube or your favorite video hosting site and see if it works. Add a comment if it does not work for your favorite video hosting site and we can see if we can add it to the list.