First Things First If you are going to send a video, make sure it makes sense for the audience you are communicating with. If the reader doesn't know why they should watch your video, they probably won't. Using video just to say you did it probably isn't a great approach.
Link 'Em Obviously you can just link to the video and be done with it. A more visually interesting and quite popular tactic is using an image to mimic the look of a video player. The prospect clicks the link and is taken to a landing page and watches the video.
This is a great method because the visual element typically leads to more clicks just out of curiosity. However, keep in mind your spam rules. Make sure you have enough text to have a high text-to-image ratio. You also don't want the file size of that image to be unmanageable for the best deliverability.
HTML5 to the rescue? It’s true that there have been some promising results embedding videos in email using HTML5. This practice is still evolving and videos embedded this way still don't render reliably across the majority of email clients. However, one clever feature of using HTML5 is the ability to set a fallback image that will display in case the email client can’t load your video. You can make this the preview image discussed above and link them externally.
If you’re feeling adventurous, do some testing with HTML5 and video, but just remember that support for it isn’t out to the masses just yet. Bonus: If you have a Wistia Enterprise account, you can add video thumbnails to your emails easily. See Wistia's documentation for more help.