The advantage of an MP4 URL is that the content can be downloaded to your HDD before playing it. This circumvents the lags and dropouts due to poor Internet connections. Personally, I don't like doing this because it requires people to log in, it consumes the forum's storage space, and there are probably copyright concerns which may impact the forum owners.
A link to a YouTube video means that one would normally have to put up with unrelated fluff which does nothing but consume your download allowance. An embedded YouTube video is less painful, but is subject to Internet dropouts.
distillvideo.com is a site which converts each YouTube link into downloadable files: