I rather have the videos on my own server than using youtube or whatever.
Regarding bandwidth I chose to host media files on a separate server. So I have my sales system and sales letters on 1 server and all media and downloadable products on a different server.
That way massive downloads would never compromise my sales websites and ecommerce system.
Especially to store the media files I chose a host that offers lots of space and bandwidth for little money. All my sites are with other hosts, but all my media files are hosted at dreamhost.
500 GB disk space and 5 TB bandwidth for $10/month, even less if you pay long term.