I can see the appeal of starting the video for everyone in the game at the same time & having it show in the Roll20 interface. Or having a video embedded on a Journal that players can re-watch at their leisure. Right now we don't have this feature.
That means the best is to upload your videos to something like
http://www.YouTube.com or Vimeo, and give-out the Link to your players in a Journal or in the Chat.
But what if you want everyone to watch the video starting at the same time? That's when to use another third-party site like one of these,
http://www.watch2gether.com/https://togethertube.com/http://sync-video.com/