Here is a page where we test various ways to embed .wmv files into a web page. If you're interested in a different video format, try one of the pages on the left. The .wmv format uses the the windows media player plug in

First off, we can just put in a bare link. So here's the link to the famous Sapp vs. Akebono in K-1.

Then, we'll play Sapp vs. Akebono in K-1, but using an unadorned <object> tag.
Sapp vs. Akebono in K-1
This plain object fails to work in most browsers.

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

Sapp vs. Akebono in K-1
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.
In Chrome, I needed to add autostart="false". It seems that autoplay="false" is inadequate in this instance. Weird.

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

I had to add the attribute controls="controls" to get it to show up.

Summary

Here's the dope:

Opera
<object>: Does work
<embed>: Does work
<video>: Half-visible control (sound), but does not work
IE6
<object>: No visible control--does not work
<embed>: Does work
<video>: No visible control--does not work
IE8
<object>: Does not work
<embed>: Does work
<video>: Does not work
Chrome
<object>: No visible control--does not work
<embed>: Does work, but requires autostart="false"
<video>:Half-visible control (sound), but does not work
FireFox
<object>: No visible control--does not work
<embed>: Works fine
<video>: No visible control--does not work
Safari
<object>: No visible control--does not work
<embed>: Works fine
<video>: Half-visible control (sound), but does not work

Summary

<object>: fails in all browsers except Opera. <embed>: works for everyone including IE6. <video>: fails in all browsers.