All you need to do to embed a video (YouTube or Vimeo) into a post or page is to post the regular URL to it into your content area. Make sure that the URL is on its own line and not hyperlinked (clickable when viewing the post). This moves us past the traditional hyperlinking method seen in lots of text content to a more visually capturing presentation. In addition, embedded video shows within the current site and doesn’t send your reader off to a new webpage.
For example:
“Check out this cool video of the library”
With the video hyperlinked to the word “library” looks like this when published as a simple paste of the video URL:
Check out this cool video of the library:
WordPress will automatically turn that into a YouTube embed when the post is viewed.
Another thought is that if you do want to use text links to other content, you can set that link up to launch in a new tab. Many users have that setup in their browser as the default behavior – i.e. when the link is clicked it launches the content in a new tab or browser window, so they can stay with the current content and go to the new content when they are ready.
For more information on how to embed various media in your posts, please see:
WordPress embeds: http://codex.wordpress.org/Embeds