Videos help reduce the bounce rate and help keep people on your site longer. If you embed a couple of 5 - 10 minute videos, there is a very good chance that people will watch them. This will increase the "average time on site" time.
And videos are a good way to get people to pause at your banners. Instead of just scrolling over the page. When you put a banner next to a video, the video makes the people pause to watch the video and gives your banner more exposure time. I usually put a banner directly under the videos. That way as the video is being watched, the viewer is also seeing the banner.
"Democracy is two wolves and a lamb voting on what to have for lunch. Liberty is a well-armed lamb contesting the vote." -- Benjamin Franklin
I forgot something - awhile back google had a "Video Sitemap". Meaning you could put together a special sitemap and tell google where you had videos embedded in your post. The video sitemap is different then a regular sitemap. Google provides a template, that you take, edit and submit to your google webmaster tools.
I dont know if google still supports the video sitemap feature, but it would be worth looking into.
So if you want to use videos to help improve your site ranking, then look into that sitemap.
If you haven't quite figured out if you should have videos on your site try asking this question - Should I use pictures on my site?
Today using videos on your site is almost the same as pictures where 10 years ago. It attracts more attention, can give more information, people get more of what they are looking for and people are media driven and expect it.
I will add that you should have videos that add value whether it is quality to match the site or something to attract visitors. Don't just post junk unless your site is about that junk!
putting some annoying video sometimes help lol... if you site is about sex, then videos of strippers really can help.
Will wrote something about this in another thread.
It does not help SEO directly, but it increases the overall authority of the page, and adds more information to the given subject.