WordPress already makes it very easy to embed videos, images, and other content in your pages and posts. Plugins such as Content Mask give you even more flexibility with that. It lets you embed any external content into your website. You can change redirect, download, and iframe settings in the back-end.
In download mode, the content is grabbed from another URL and cached on your site for 4 hours (by default). You can always make that longer. The iframe mode lets you display content from other sites in a frameless iframe on your site. This plugin also has a 301 redirection option.
You have the option to disable/enable visitor tracking, HTTP headers, iframe title, return link on masked pages, and content mask for certain roles. You can also apply custom scripts.