I've been successful embedding videos and such by adding all of the necessary tags to the ALLOWED_TAGS constant in the redcloth module. The module is in the redmine installation directory as redmine/lib/redcloth3.rb. Search for the constant, add your tags and restart Redmine.
I added object, script, param, a, img and embed to get the following:
ALLOWED_TAGS = %w(redpre pre code notextile object script param a img embed)
This allows me to embed wmv video in Redmine using the following html:
You can attach the filename to the issue (or wiki) and then copy the hyperlink to the attachment in order to fill in the correct filename in the code above.
That code contains embedding twice (once as embed and once as object) in order to work with both Firefox and IE. You need to tweak the player height and width as well as filename (and autostart, if you want) in both links in order for everything to work properly.