Here is a page where we test various ways to embed .ogv files into a web page. If you're interested in a different video format, try one of the pages on the left.
Ok, I lied. This page doesn't test browsers for .ogv support. While, in theory, several browsers claim support for .ogv, I have yet to find anyone who can supply a video in that format. My A/V buddie at Ga. Tech. tried converting a file for me, but it didn't work. The über nerd in my handbell choir tells me that no one outside a media lab can make .ogv work. I gather it's something experimental that will be ready in a few years...perhaps. In the mean time, avoid this format and also avoid the <video> element.
If you search Google for support for the <video> tag, you'll find a claim that all modern browsers, except IE8 and below (IE9 allegedly does support it), offer full support. Seems like marketing BS to me, full support for a feature that basically doesn't exist. Sheesh!