This is something that Microsoft has had on the roadmap seemingly forever, but every time I tested to see if it had been rolled out… it wasn’t. Now it is! If you put a video link in an email (and you’re using Outlook on the web), that video will show up in the actual email, and you can watch it from there without going to some other location. Here’s what that looks like…
Here’s what a video link used to look like when you would paste it into an email (and it still works that way in Outlook Classic):

Now, pasting that same link causes the video to actually show in a player directly in the email:

I know some people are going to say “but I don’t WANT it to show up that way!” Fortunately, you can have it display as a regular link by right-clicking on the video link in the upper-left corner and selecting Link Styles > Link. That will cause it to display as a normal link:
