I never bother to imbed stuff into my ppts, although it is fancier that way, it is just as effective to simply have a file ready, close out the ppt, play your clip, and then open up your ppt again when the clip is over.
If you're in a classroom with internet access the easiest thing is to just pull up the clip you want to show on tudou or youku (you will be surprised what you can find on there with the right keywords), let it buffer up while you're lecturing, and then when you're ready just hit play.
Ripping stuff off of YouTube of course can be done, like the others say, but it is kind of a pain in the ass and you do have to go around first downloading this and that. The file will be in an FLV format so you'll probably want to change it to an .avi or somesuch before you use it. A bit of a hassle really.
Alternately, use a torrent site and download something already in the proper format. I got Bury My Heart at Wounded Knee from torrents.