Hi rlowson,
Hosting your videos on YouTube or Vimeo (which I recommend) or both is better for two reasons:
1. Syndication. You’ll get a lot more people seeing and being able to comment, rate, share your video if they can find it directly on YouTube or Vimeo.
2. Load time. Hosting on YouTube or Vimeo acts as a streaming server when you embed videos on your site severely decreasing the weight on your own hosting account/server.
Thanks, Bryan