Here is a page where we test various ways to embed .mpeg files into a web page. If you're interested in a different video format, try one of the pages on the left. On my computer, the .mpeg format uses the quicktime plug in

First off, we can just put in a bare link. So here's the link to the famous Freelance Bishops' Amazing Guitarist.

Then, we'll play Freelance Bishops' Amazing Guitarist, but using an unadorned <object> tag.
Freelance Bishops' Amazing Guitarist
This plain object works for everyone except IE6.

Ok, now we'll try the <embed> element.

Freelance Bishops' Amazing Guitarist
So, <embed>, pretty much unadorned save for the autostart="false" requirement works in IE6, whereas <object> does not. Also, html5 will support <embed>, which is to say, it will become un-depricated.

Ok, now we'll try the <video> element.

I had to add the attribute controls="controls" to get it to show up anywhere. Only plays in Safari.

Summary

Here's the dope:

Opera
<object>: Works fine
<embed>: Works fine
<video>: No visible player--does not work.
IE6
<object>: No visible player--does not work.
<embed>: Does work
<video>: No visible player--does not work.
IE8
<object>: Does work
<embed>: Does work
<video>: Does not work
Chrome
<object>: Works fine
<embed>: Works fine
<video>:Visible player, but does not work.
FireFox
<object>: Works fine
<embed>: Works fine
<video>: No visible player--does not work.
Safari
<object>: Works fine
<embed>: Works fine
<video>: Works fine

Summary

<object>: works for everyone but IE6 and IE8. <embed>: works for everyone including IE6. <video>: only works in Safari.