Adding video content to your website is fairly straight forward. All you have to do is upload the video to either YouTube or Vimeo and then copy/paste an embed code on your website.
Self-hosting can be more complicated to set up and may drain resources slowing the site down. The most compelling reason for self-hosting videos on your website is that users will have to visit your page to view the video (as opposed to going directly to YouTube or Vimeo) which might result in new links pointing to your website which is great for SEO.
Also, once you've uploaded your video to YouTube or Vimeo, remember to link back to your website from the video content page if possible. As I mentioned before, your website will rank higher in search results if you can get lots of links pointing back to your site.
